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DESCRIPTION:\n\nMr. Pouya Behmaram\, a doctoral student at 91������ Universit
 y in the Finance area will be presenting his thesis defense entitled:\n\nT
 wo Essays on Empirical Asset Pricing and Dynamics of Passive Investing\n\n
  \n\nThursday\, July 25\, 2024 at 9:00 a.m.\n	(The defense will be conducte
 d on Zoom)\n\nStudent Committee Chair: Professor David Schmaucher\n\nPleas
 e note that the presentation will be conducted on Zoom. If you wish to att
 end the presentation\, kindly contact the PhD Office.\n\n\nABSTRACT\n\nThi
 s thesis explores the consequences of the shift from active to passive inv
 esting\, analyzing its diverse impacts on asset pricing\, expected returns
 \, investor demand\, and price elasticity. The first essay\, titled “From 
 Active to Passive: The Consequences for Demand Elasticity\,” investigates 
 how the transition to passive investing influences asset demand and price 
 elasticity in the U.S. equity market. It presents a new metric for assessi
 ng stock-level passive ownership\, which is then incorporated into the exi
 sting demand framework. The findings reveal a notable decrease in the pric
 e elasticity of demand among all investor types\, with passive investment 
 pressure mainly affecting larger-cap stocks. The results suggest that the 
 rise in passive investing accounts for approximately 15% of the increased 
 inelasticity of demand for stocks. Additionally\, incorporating this passi
 ve ownership metric into the demand system not only reduces the previously
  unexplained latent demand but also shows a positive correlation between a
  stock’s demand and its level of passive ownership.\n\nIn my second paper\
 , “From Realized to Expected: The Passive Investing Impact\,” I employ Ind
 exing Inclusion Ratio (IXI) to gauge the growing influence of passive owne
 rship on the US equity realized and expected returns. The results indicate
  that stocks with high indexing significantly outperform those with low in
 dexing\, mainly due to the influx of passive capital rather than intrinsic
  value. By examining the expected return both ex-ante via implied capital 
 costs and ex-post by accounting for passive flows and earnings anomalies\,
  I demonstrate that high-indexed stocks have lower expected returns\, sugg
 esting a potential correction as passive investing trends stabilize. Furth
 ermore\, I illustrate that the recent underperformance of value and small-
 cap stocks is closely related to the ongoing shift toward passive investin
 g.\n
DTSTART:20240725T130000Z
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SUMMARY:PhD Thesis Defense Presentation: Pouya Behmaram
URL:/desautels/channels/event/phd-thesis-defense-prese
 ntation-pouya-behmaram-357948
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