The Addition And Deletion Effects Of The Standard Poor S 500 Index On Both Stock And Option Markets
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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.
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.
Standard Poor S 500 Guide
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Author : Standard & Poor's
language : en
Publisher: McGraw-Hill Companies
Release Date : 2004-12
Standard Poor S 500 Guide written by Standard & Poor's and has been published by McGraw-Hill Companies this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-12 with Business & Economics categories.
Provides data and analysis of the companies in the world-famous S&P 500 index, one of the most watched financial indexes in the world. This title provides top investment professionals with information on earnings, dividends, and share prices; stock picks in various categories; and company addresses and numbers, along with names of top officers.
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.
A Comprehensive Long Term Analysis Of S P 500 Index Additions And Deletions
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Author : Kalok Chan
language : en
Publisher:
Release Date : 2015
A Comprehensive Long Term Analysis Of S P 500 Index Additions And Deletions written by Kalok Chan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
We investigate the long-term effects of S&P 500 index additions and deletions on a sample of stocks from 1962 to 2003 and find a significant long-term price increase for both added and deleted stocks, with deleted stocks outperforming added stocks. The long-term price increase for added stocks can be attributed to increases in institutional ownership, liquidity, and analyst coverage, and a decrease in the shadow cost in the long-term. However, while deletion has no significant effect on analyst coverage and shadow cost, we find a rebound in the institutional ownership and liquidity of deleted stocks. The difference in the long-term price increase of added and deleted stocks can be explained by analyst coverage and operating performance.
Standard Poor S 500 Guide 2011 Edition
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Author : Standard & Poor's
language : en
Publisher: McGraw Hill Professional
Release Date : 2010-12-17
Standard Poor S 500 Guide 2011 Edition written by Standard & Poor's and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-17 with Business & Economics categories.
The latest critical data for making superior investing decisions--from the world's most respected financial index The Standard & Poor's 500 Index is the most watched index in America--if not the world. Whether you're an individual investor purchasing stocks, an executive researching corporate competitors, or a job seeker looking for concise and up-to-the-minute overviews of potential employers, you'll find the critical, often hard-to-find information you need in Standard & Poor's 500 Guide, 2011 Edition. Easy to use and packed with market intelligence on all 500 companies listed in the S&P 500 Index, this authoritative reference includes: Information on the bluest of blue chip stocks, from Abbott Labs and GE to Microsoft and Yahoo! Summaries of each company's business activity, sales history, and recent developments Earnings and dividends data, with four-year price charts Exclusive Standard & Poor’s Quality Rankings (from A+ to D) New introduction by David M. Blitzer, Ph.D., Managing Director and Chairman of the Index Committee, Standard & Poor's In addition, you get unique at-a-glance details about: Stocks with A+ Quality Rankings Companies with five consecutive years of earnings increases--a key indicator of strong long-term performance Per share data, income statement analyses, and balance sheet overviews of each company covered Put the comprehensive, updated data and analysis expertise of the world's premier securities information firm at your fingertips with Standard & Poor's 500 Guide, 2011 Edition.
Options Explained2
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Author : Robert Tompkins
language : en
Publisher: Springer
Release Date : 2016-07-27
Options Explained2 written by Robert Tompkins and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-07-27 with Business & Economics categories.
Unlike most books on derivative products, Options Explained 2 is a practical guide, covering theoretical concepts only where they are essential to applying options on a wide variety of assets. Written with the emphasis on a practical, straightforward approach, Options Explained succeeds in demystifying what has traditionally been treated as a highly complex product. The second edition also includes over 100 pages of new material, with sections on exotic options, worldwide accounting practices and issues in volatility estimation.
Standard Poor S 500 Guide 2010 Edition
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Author : Standard & Poor's
language : en
Publisher: McGraw Hill Professional
Release Date : 2010-03-12
Standard Poor S 500 Guide 2010 Edition written by Standard & Poor's and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-03-12 with Business & Economics categories.
500 Vital Data on Earnings, Dividends, and Share Prices Exclusive Analysts' Stars Recommendations Key Income and Balance Sheet Statistics Company Addresses, Telephone Numbers, and Names of Key Corporate Officers The Standard & Poor's 500 Index is the most watched index in America--if not the world. Whether you're an individual investor looking to make a smart stock purchase, an executive researching corporate competitors, or a job seeker looking for concise and up-to-the-minute overviews of potential employers, you'll find the critical, often hard-to-find information you need in Standard & Poor's 500 Guide, 2010 Edition. Easy to use and packed with market intelligence on all 500 of the companies listed in the S&P 500 Index, this authoritative reference includes: Information on the bluest of blue chip stocks, from Abbott Labs and GE to Microsoft and Yahoo! Summaries of each company's business activity, sales history, and recent developments Earnings and dividends data, with three-year price charts Exclusive Standard & Poor's Quality Rankings (from A+ to D) New introduction by David M. Blitzer, Ph.D., Managing Director & Chairman of the Index Committee, Standard & Poor's In addition, unique at-a-glance detail: Stocks with A+ Quality Rankings Companies with five consecutive years of earnings increases--a key indicator of strong long-term performance! Companies with 10 consecutive years of increasing dividends Put the comprehensive, updated data and analysis expertise of the world’s premier securities information firm at your fingertips, with Standard & Poor's 500 Guide, 2010 Edition. Standard & Poor's, a division of The McGraw-Hill Companies, Inc., is the nation's leading securities information company. It provides the respected Standard & Poor's ratings and stock rankings, advisory services, data guides, and the most closely watched and widely reported gauges of stock market activity—the S&P 500, S&P MidCap 400, S&P SmallCap 600, and S&P Super Composite 1500 stock price indices. Divisions of Standard & Poor's operate independently of each other. Standard & Poor's, S&P, S&P 500 are registered trademarks of Standard & Poor's Financial Services LLC.
New Evidence On Stock Price Effects Associated With Charges In The S P 500 Index
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Author : Anthony W. Lynch
language : en
Publisher:
Release Date : 2008
New Evidence On Stock Price Effects Associated With Charges In The S P 500 Index written by Anthony W. Lynch and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Since October 1989, Standard and Poor s has (when possible) announced changes in the composition of the Samp;P 500 index one week in advance. Because index funds hold Samp;P 500 stocks to minimize tracking error, index composition changes since this date provide an opportunity to examine the market reaction to an anticipated change in the demand for a stock. Using post-October-1989 data, we document significantly positive (negative) post-announcement abnormal returns that are only partially reversed following additions (deletions). These results indicate the existence of temporary price pressure and downward-sloping log-run demand curves for stocks and represent a violation of market efficiency.
