Passive Efficiency - Exploring Stocks' Return, Risk, & Efficiency Through Index Investing in Europe
This study investigates the consequences of stocks being included in an index, in terms of returns, risk, and pricing efficiency. We examine the European stock market, utilizing the broad STOXX Europe 600 index, which, to a large extent, has been overseen by previous research. Over the recent period 2013-2023, we document all additions to the index and collect fund ownership data, classified as in