Meeting of 10-11 April 2024
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火曜日, 5月 28, 2024
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We quantify both the direct and the portfolio re-balancing impact, emphasizing the role of investor heterogeneity.
Key Points:
- 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.