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The Effects From Changes In The Dow Jones Industrial Average List


The Effects From Changes In The Dow Jones Industrial Average List
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The Effects From Changes In The Dow Jones Industrial Average List


The Effects From Changes In The Dow Jones Industrial Average List
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Author : Hongyun Shen
language : en
Publisher:
Release Date : 2000

The Effects From Changes In The Dow Jones Industrial Average List written by Hongyun Shen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.




The Impact Of Changes In The Dow Jones Industrial Average List On Prices And Trading Volume


The Impact Of Changes In The Dow Jones Industrial Average List On Prices And Trading Volume
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Author : Geungu Yu
language : en
Publisher:
Release Date : 2017

The Impact Of Changes In The Dow Jones Industrial Average List On Prices And Trading Volume written by Geungu Yu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.


The price-pressure hypothesis (PPH) assumes that a temporary increase (or decrease) in returns and trading volumes occurs around the announcement day when firms are added to (or deleted from) a market index. On September 10, 2013, the Dow Jones Industrial Averages Index Committee announced that Goldman Sachs Group Inc. (GS), Visa Inc. (V) and Nike Inc. (NKE) would be added to the Dow Jones Industrial Average (DJIA) and Bank of America Corp. (BAC), Hewlett-Packard Co. (HPQ) and Alcoa Inc. (AA) would be deleted from the DJIA after the close of trading on September 20, 2013. According to the Index Committee, GS replaced BAC, V replaced HPQ and NKE replaced AA. This event study analyzes the effects that these changes have on the prices and volumes of these stocks. Changes of prices and trading volumes of the firms added to the DJIA are statistically significant enough to support the PPH.



Information Costs And Liquidity Effects From Changes In The Dow Jones Industrial Average List


Information Costs And Liquidity Effects From Changes In The Dow Jones Industrial Average List
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Author : Messod D. Beneish
language : en
Publisher:
Release Date : 2014

Information Costs And Liquidity Effects From Changes In The Dow Jones Industrial Average List written by Messod D. Beneish and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.


We examine the stock market effect of changes in the composition of the Dow Jones Industrial Average (DJIA). Unlike Samp;P 500 listing studies, we find that the price and the trading volume of newly listed DJIA firms are unaffected. We attribute this result to a lack of index fund rebalancing, since index trading is limited for most of our sample period and index funds mimic the Samp;P 500, not the DJIA. Firms removed from the index, however, experience significant price declines. We consider information signaling, price pressure, imperfect substitutes, and information cost/liquidity explanations for these asymmetric findings. The evidence is consistent with the information cost/liquidity explanation, which holds that investors demand a premium for higher trading costs and for holding securities that have relatively less available information.



The Effect Of Dow Jones Industrial Average Index Component Changes On Stock Returns And Trading Volumes


The Effect Of Dow Jones Industrial Average Index Component Changes On Stock Returns And Trading Volumes
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Author : Eric C. Lin
language : en
Publisher:
Release Date : 2018

The Effect Of Dow Jones Industrial Average Index Component Changes On Stock Returns And Trading Volumes written by Eric C. Lin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.


This study examines the impact of index membership changes in Dow Jones Industrial Average (DJIA) Index on the return and trading volume of the affected stock. We make two key contributions to the literature. First, we employ a robust event study methodology based on Fama-French Momentum Model with EGARCH to explore the price/volume dynamics associated with DJIA Index additions and deletions. Second, we extend earlier work by incorporating all index reconstitution announcements after Dow Jones & Company began preannouncing index changes in 1990. Our results show that index additions (deletions) experience temporary increases (decreases) in stock prices following the announcement. The abnormal returns surrounding the announcements are economically and statistically significant. In addition, both inclusions and removals lead to temporary abnormal trading volume increases in the post-announcement period. However, the stock prices and trading volumes revert within a few trading days. Our findings are consistent with the price pressure hypothesis as the documented abnormal returns and trading volumes are not permanent.



An Historical And Statistical Analysis Of The Dow Jones Industrial Stock Price Averages To Determine The Effect Of Changes In Stocks Constituting The Averages


An Historical And Statistical Analysis Of The Dow Jones Industrial Stock Price Averages To Determine The Effect Of Changes In Stocks Constituting The Averages
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Author : Philip Field
language : en
Publisher:
Release Date : 1931

An Historical And Statistical Analysis Of The Dow Jones Industrial Stock Price Averages To Determine The Effect Of Changes In Stocks Constituting The Averages written by Philip Field and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1931 with categories.




Do Recent Changes In The Dow Jones Industrial Average Support The Price Pressure Hypothesis


Do Recent Changes In The Dow Jones Industrial Average Support The Price Pressure Hypothesis
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Author : Patricia Freeman
language : en
Publisher:
Release Date : 2017

Do Recent Changes In The Dow Jones Industrial Average Support The Price Pressure Hypothesis written by Patricia Freeman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.


The price-pressure hypothesis (PPH) assumes that a temporary increase (decrease) in returns and volume results as firms are added to (deleted from) an index around the announcement date. This event study analyzed recent unexamined changes in the Dow Jones Industrial Average (DJIA) since 1996. Examination of returns of firms added to and firms deleted from DJIA did not support the PPH. Only deleted stocks' volume exhibited a slight increase following the announcement dates. Otherwise, the volume analyses for stocks either added to or deleted from the DJIA tended not to support the PPH.



Ibss Economics 1995


Ibss Economics 1995
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Author : Compiled by the British Library of Political and Economic Science at the London School of Economics
language : en
Publisher: Psychology Press
Release Date : 1996

Ibss Economics 1995 written by Compiled by the British Library of Political and Economic Science at the London School of Economics and has been published by Psychology Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Economics categories.


The IBSS is the essential tool for librarians, university departments, research institutions and any public or private institutions whose work requires access to up-to-date and comprehensive knowledge of the social sciences.



Information Volatility And The Cost Of Capital


Information Volatility And The Cost Of Capital
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Author : Tanguy de Launois
language : en
Publisher: Presses univ. de Louvain
Release Date : 2009

Information Volatility And The Cost Of Capital written by Tanguy de Launois and has been published by Presses univ. de Louvain this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Business & Economics categories.


We all have in mind a couple of dramatic examples of how information released by some economical or political entity resulted in tremendous consequences for a private company or, worst, for the whole financial market. This is the purpose of this dissertation to investigate the relations between information,stock volatility and the cost of capital. After the extension of the standard CAPM model to a more realistic world where some investors are “constrained” and deviate from their optimal CAPM quantities, we confront our theoretical model to the empirical reality by investigating the so-called “index effect”. Thanks to econometric specifications robust to endogeneity, we test different hypotheses proposed by the literature to explain this well known value premium of firms belonging to large indices. In a next step, we investigate how the quality and quantity of micro and macro public signals impact the main determinants of our pricing equation initially developed. We show that in a world of constrained investors, firms benefiting from a high deviation have less incentive to communicate than others. Finally, we study the link between public information and conditional volatility thanks to an original sample of several tens of thousands of Reuters and Dow Jones news releases on both the French and US markets. Thanks to various econometric specifications like GARCH models and Markov Switching Regressions, we conclude that a larger daily number of news releases increases the probability to be in the high probability regime and that the impact ofinformation is strongly dependent on the topic and the timing of the release of this information.



Quarterly Journal Of Finance And Accounting


Quarterly Journal Of Finance And Accounting
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Author :
language : en
Publisher:
Release Date : 2009

Quarterly Journal Of Finance And Accounting written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Accounting categories.




An Empirical Investigation Of The Relationship Between Price Changes And Price Level Of The Dow Jones Industrial Average


An Empirical Investigation Of The Relationship Between Price Changes And Price Level Of The Dow Jones Industrial Average
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Author : George Henry Lee
language : en
Publisher:
Release Date : 1956

An Empirical Investigation Of The Relationship Between Price Changes And Price Level Of The Dow Jones Industrial Average written by George Henry Lee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1956 with Dow Jones averages categories.