The price response to S & P 500 index additions and deletions : evidence of asymmetry and a new explanation

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The price response to S & P 500 index additions and deletions : evidence of asymmetry and a new explanation

Chen, Honghui - ; Noronha, Gregory - ; Singal, Vijay - ;

We study the price effects of changes to the S & P 500 index and document an asymmetric price response : there is a permanent increase in the price of added firms but no permanent decline for deleted firms. These results are at odds with extant explanations of the effects of index changes that imply a symmetric price response to additions and deletions. A possible explanation for asymmetric price effects arises from the changes in investor awareness..Printed Journal

Ketersediaan

Call Number	Location	Available
	PSB lt.dasar - Pascasarjana	1

Penerbit	The American Finance Association.,
Edisi	-
Subjek	-
ISBN/ISSN	00221082
Klasifikasi	-
Deskripsi Fisik	-
Info Detail Spesifik	-
Other Version/Related	Tidak tersedia versi lain
Lampiran Berkas	Tidak Ada Data