The Real Effects Of S P 500 Index Additions

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The Real Effects Of S P 500 Index Additions

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Author : Yong Wei (M. Phil.)
language : en
Publisher:
Release Date : 2010

The Real Effects Of S P 500 Index Additions written by Yong Wei (M. Phil.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Corporations categories.

The Real Effects Of S P 500 Index Additions

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Author : Yong Wei
language : en
Publisher: Open Dissertation Press
Release Date : 2017-01-24

The Real Effects Of S P 500 Index Additions written by Yong Wei and has been published by Open Dissertation Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-24 with categories.

This dissertation, "The Real Effects of S&P 500 Index Additions: Evidence From Corporate Investment" by Yong, Wei, 卫勇, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. DOI: 10.5353/th_b4490681 Subjects: Stocks - Prices - Mathematical models Corporations - Finance - Mathematical models

Market Capitalization Changes For S P 500 Inclusions And Exclusions

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Author : Colin Tissen
language : de
Publisher:
Release Date : 2015-07-09

Market Capitalization Changes For S P 500 Inclusions And Exclusions written by Colin Tissen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-07-09 with categories.

Research Paper from the year 2015 in the subject Business economics - Investment and Finance, grade: 9.0/10, Maastricht University, language: English, abstract: Previous research has already proven that firms which get included in or excluded from the S&P 500 index experience stock price changes that ultimately result in market capitalization changes. The causes of these changes has extensively been examined, but a consensus on the true cause has not yet been reached. In this paper the market capitalization effect is examined by making a distinction between the reasons for inclusions and exclusions. It is argued that expected events, like bankruptcy and index-downgrading, have lower price effects than unexpected events, which include mergers and acquisitions. By usage of a regression analysis it is concluded that there is no difference in price effects between the individual reasons for inclusions and exclusions. However, when the reasons are grouped into unexpected and expected events there is a significant effect for the inclusions. Firms which expectedly enter the index experience lower market capitalizations changes than firms which unexpectedly entered the index. This effect could not be proved for exclusions.

The S P 500 Effect

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Author : Daniel Cooper
language : en
Publisher:
Release Date : 2002

The S P 500 Effect written by Daniel Cooper and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Stock price indexes categories.

Do Index Effects Reflect Idiosyncratic Or Industry Effects A Re Examination Of The Winners And Losers Of S P 500 Index Addition

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Author : Isaac K. Otchere
language : en
Publisher:
Release Date : 2007

Do Index Effects Reflect Idiosyncratic Or Industry Effects A Re Examination Of The Winners And Losers Of S P 500 Index Addition written by Isaac K. Otchere 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 paper provides new findings concerning additions to the Samp;P 500 Index. We present the first evidence of industry effects that occur when stocks are added to the Samp;P 500 Index. With over a trillion dollars in index funds wealth tied to the Samp;P 500 Index, index additions exert price pressures on not only the firms that are added to the index and but the incumbent industry counterparts as well. We find that the share price of an added firm's industry counterparts increase in the announcement date and decrease on the effective date. We provide evidence that portfolio rebalancing helps explain the effective date abnormal returns documented for the incumbent industry counterparts. In addition, we show that the likelihood of a company being added to the Samp;P 500 Index is higher in industries with strong innovative activity, making revisions to the Index a vehicle for incorporating the value of such activity. Overall, our results suggest that Samp;P 500 Index composition changes are not information-free events.

The Price Response To S P 500 Index Additions And Deletions

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Author : Honghui Chen
language : en
Publisher:
Release Date : 2003

The Price Response To S P 500 Index Additions And Deletions written by Honghui Chen 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.

We study the price effects of firms added to and deleted from the Samp;P 500 index and document an asymmetric price response: there is a permanent increase in the price of added firms but no similar decline for deleted firms. These results are at odds with extant explanations of the effects of Samp;P 500 index changes which imply a symmetric price response to additions and deletions. A possible explanation for asymmetric price effects arises from changes in investor awareness. Results from our empirical tests support the thesis that changes in investor awareness contribute to the asymmetric price effects of Samp;P 500 index additions and deletions.

S P 500 Additions

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Author : José O. García Álvarez
language : es
Publisher:
Release Date : 2007

S P 500 Additions written by José O. García Álvarez 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.

Is There An S P 500 Index Effect

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Author : Maria Kasch
language : en
Publisher:
Release Date : 2014

Is There An S P 500 Index Effect written by Maria Kasch 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.

This paper finds that the permanent changes in market value and return comovement, previously attributed to S&P 500 index additions, reflect well-established regularities in asset returns independent of index membership. Specifically, we document that index additions are preceded by extraordinary market and earnings performance of the event firms and that - after accounting for this performance - the additions have no permanent effect on the firms' market value and standard measures of systematic risk. The permanent value effect which has been attributed to index membership is a manifestation of the momentum in returns (Jegadeesh and Titman (1993)), while the change in comovement reflects declines in the loadings on size and value factors (Fama and French (1993)). Our results show the importance of addressing endogeneity for causal inference in event studies.

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.

The Long Term Price Effect Of S P 500 Index Addition And Earnings Quality

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Author : Petya Platikanova
language : en
Publisher:
Release Date : 2008

The Long Term Price Effect Of S P 500 Index Addition And Earnings Quality written by Petya Platikanova 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.

A positive price response ...