Meeting of 10-11 April 2024
We quantify both the direct and the portfolio re-balancing impact, emphasizing the role of investor heterogeneity.
- We quantify both the direct and the portfolio re-balancing impact, emphasizing the role of investor heterogeneity.
- We use proprietary security-level data on asset holdings of different investors.
- We measure the direct impact on security level, finding that it is smaller for securities predominantly held by more price-elastic investors, funds and banks.