Title

The Price Response To S&Amp;P 500 Index Additions And Deletions: Evidence Of Asymmetry And A New Explanation

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.

Publication Date

1-1-2004

Publication Title

Journal of Finance

Volume

59

Issue

4

Number of Pages

1901-1930

Document Type

Review

Personal Identifier

scopus

DOI Link

https://doi.org/10.1111/j.1540-6261.2004.00683.x

Socpus ID

4344587739 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/4344587739

This document is currently not available here.

Share

COinS