Title

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

Authors

Authors

H. H. Chen; G. Noronha;V. Singal

Comments

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Abbreviated Journal Title

J. Financ.

Keywords

DEMAND CURVES; STANDARD-AND-POOR-500 LIST; INVESTOR RECOGNITION; MARKET-SEGMENTATION; ASSET PRICES; STOCKS; EQUILIBRIUM; VOLUME; SLOPE; GAME; Business, Finance

Abstract

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. Results from our empirical tests support the thesis that changes in investor awareness contribute to the asymmetric price effects of S&P 500 index additions and deletions.

Journal Title

Journal of Finance

Volume

59

Issue/Number

4

Publication Date

1-1-2004

Document Type

Article

Language

English

First Page

1901

Last Page

1929

WOS Identifier

WOS:000223171800015

ISSN

0022-1082

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