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Primary Capital Market Transactions and Index Funds

C Murray & Marco Sammon

Review of Asset Pricing Studies2026https://doi.org/10.1093/rapstu/raaf013article
AJG 3ABDC A*
Weight
0.50

Abstract

We document how mechanical buying by CRSP-index-tracking funds 5 days post-IPO affects stock returns and IPO deal structure. Using a difference-in-differences design, we show that expected indexer demand causes Fast-Track IPOs to outperform their non-Fast-Track counterparts by over five percentage points, peaking at the index inclusion date and reverting significantly within 3 weeks. Anticipated CRSP index inclusion also affects IPO terms, with Fast-Track IPOs raising 6% more capital than their non-Fast-Track counterparts. Our findings support a proposed index rule change to eliminate a $5.8 billion “shadow tax” paid to intermediaries by index fund investors and firms raising capital through IPOs. (JEL G12, G14) Received: 14 March 2025; Editorial decision: September 9, 2025Editor: Joel PeressAuthors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

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https://doi.org/https://doi.org/10.1093/rapstu/raaf013

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@article{c2026,
  title        = {{Primary Capital Market Transactions and Index Funds}},
  author       = {C Murray & Marco Sammon},
  journal      = {Review of Asset Pricing Studies},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1093/rapstu/raaf013},
}

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Primary Capital Market Transactions and Index Funds

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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