The Addition And Deletion Effects Of The Standard Poor S 500 Index And Its Dynamic Evolvement From 1990 To 2002
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The Addition And Deletion Effects Of The Standard Poor S 500 Index And Its Dynamic Evolvement From 1990 To 2002
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Author : Libo Sui
language : en
Publisher:
Release Date : 2003
The Addition And Deletion Effects Of The Standard Poor S 500 Index And Its Dynamic Evolvement From 1990 To 2002 written by Libo Sui and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
This paper investigates equity market behavior for firms added to or deleted from the S amp; P 500 index. The S amp; P 500 index is one of the most widely tracked indexes by investors who wish to remain diversified. Since October 1989, S amp; P allows approximately 5 days of trading between the announcement date and the change date. In this paper, we use the underlying stock markets data to analyze the post-1989 market behavior of index changes. We examine price and volume history for firms added to or deleted from the S amp; P 500 from January 1990 through December 2002. We found a mean cumulative abnormal return from announce day to change day of 8.44% for additions and -11.10% for deletions. The abnormal returns still remain at 6.19% for additions and -6.20% for deletions 20 days after the change day. We found an arbitrage space of 3.2% for additions and -6.7% for deletions which use the strategy of buying/selling at the open of AD+1 and covering those positions at the close of CD. We found direct evidence rejecting the downward-sloping long-run demand curves hypothesis which has been supported by most of the prior studies for decades. We demonstrate the demand curves are only downward-sloping in short-run and horizontal in the long-run. We also focus our research on the dynamic evolvement of this effect from 1990 to 2002 which indicates markets are becoming more efficient. Markets need time to adjust to semi-strong form market efficiency when there are some structural changes or new information comes in. We use this sample to demonstrate the relationship between volume, return and information. Our outcome indicates volume does not predict direction, but only price volatility. It is the nature of information (good or bad) that causes the abnormal volume which decides the direction of stock movements. Information plays an important role in the relationship between abnormal volume and abnormal return. The volume is only a proxy of information flow in some cases. This paper also shows how human behaviors such as risk averse and irrationality can influence market efficiency in the short-run and how market evolves from inefficiency to efficiency in the long-run. We worry about the long-run performance of the index funds, because the total premium paid by index fund will accumulate to a significant amount as time goes on. This is one of the increasing problems of index funds.
The Addition And Deletion Effects Of The Standard Poor S 500 Index On Both Stock And Option Markets
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Author : Libo Sui
language : en
Publisher:
Release Date : 2004
The Addition And Deletion Effects Of The Standard Poor S 500 Index On Both Stock And Option Markets written by Libo Sui and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
The Addition And Deletion Effects Of The Standard Poor S 500 Index On Option Markets
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Author : Libo Sui
language : en
Publisher:
Release Date : 2004
The Addition And Deletion Effects Of The Standard Poor S 500 Index On Option Markets written by Libo Sui and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
This paper presents the behavior of option markets of Samp;P 500 index changes for the first time. The same as the underlying stock markets, we found abnormal returns from AD+1 to CD except for put options of addition stocks. We found evidence supporting the liquidity hypothesis and information hypothesis of stock markets from option side. We derived the mean implied risk-neutral probability density function from a group of stocks for the first time. We found evidence of arbitrage activities and inside trading activities for the index changes. We found Samp;P would like to delete stocks which have left-shift implied RNDs and add stocks which have right-shift implied RNDs, which means the index changes are not information-free for the markets.
Dissertation Abstracts International
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Author :
language : en
Publisher:
Release Date : 2004
Dissertation Abstracts International written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Dissertations, Academic categories.
Abstracts of dissertations available on microfilm or as xerographic reproductions.
Gambling On The S P 500 S Gold Seal
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Author : Chris Brooks
language : en
Publisher:
Release Date : 2007
Gambling On The S P 500 S Gold Seal written by Chris Brooks and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
This study examines the abnormal returns, trading activity and long term performance of stocks that were added to the Samp;P 500 Index during the period 1990 to 2002. By using a three-factor pricing model that allows for firm size and value characteristics as well as market risk, we are able to shed new light on the widely observed index effect. We argue that for the years 1990-1997 in particular, firm size mattered in the long-run and firm size effects cannot be captured by a single factor model for abnormal returns. We also find a transitory increase in trading volume between the announcement and a few days after the effective date. The seal of Samp;P 500 Index membership has very long term effects and inclusion is not an information-free event.
Liquidity And Asset Prices
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Author : Yakov Amihud
language : en
Publisher: Now Publishers Inc
Release Date : 2006
Liquidity And Asset Prices written by Yakov Amihud and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Business & Economics categories.
Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Social Science Research
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Author : Anol Bhattacherjee
language : en
Publisher: CreateSpace
Release Date : 2012-04-01
Social Science Research written by Anol Bhattacherjee and has been published by CreateSpace this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-04-01 with Science categories.
This book is designed to introduce doctoral and graduate students to the process of conducting scientific research in the social sciences, business, education, public health, and related disciplines. It is a one-stop, comprehensive, and compact source for foundational concepts in behavioral research, and can serve as a stand-alone text or as a supplement to research readings in any doctoral seminar or research methods class. This book is currently used as a research text at universities on six continents and will shortly be available in nine different languages.
The Advocate
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Author :
language : en
Publisher:
Release Date : 2001-08-14
The Advocate written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-08-14 with categories.
The Advocate is a lesbian, gay, bisexual, transgender (LGBT) monthly newsmagazine. Established in 1967, it is the oldest continuing LGBT publication in the United States.
English As A Global Language
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Author : David Crystal
language : en
Publisher: Cambridge University Press
Release Date : 2012-03-29
English As A Global Language written by David Crystal and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-03-29 with Foreign Language Study categories.
Written in a detailed and fascinating manner, this book is ideal for general readers interested in the English language.
Fire Smoke And Haze
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Author : S. Tahir Qadri
language : en
Publisher: Asian Development Bank
Release Date : 2001
Fire Smoke And Haze written by S. Tahir Qadri and has been published by Asian Development Bank this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Ecology categories.
This publication, a joint effort of ADB and the Association of Southeast Asian Nations (ASEAN), brings together the current knowledge about land and forest fires, examines their causes and impacts with particular reference to Southeast Asia, and suggests what could happen in the future.
