The S P 500 Effect

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The S P 500 Index Effect In Continuous Time

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Author : Konstantina Kappou
language : en
Publisher:
Release Date : 2007

The S P 500 Index Effect In Continuous Time written by Konstantina Kappou 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.

The advent of index tracking early in the 1970s and the continuous growth of assets tied to the Samp;P 500 index have enforced perceptions of the importance of becoming an index-member, due to increased demand by index fund participants for the stocks involved in index composition changes. This study focuses on Samp;P 500 inclusions and examines the impact of potential overnight price adjustment after the announcement of an Samp;P 500 index change. We find evidence of a significant overnight price change that diminishes the profits available to speculators although there are still profits available from the first day after announcement until a few days after the actual event. More importantly observing the tick-by-tick stock price performance of the key days of the event window for the first time, we find evidence of consistent trading patterns during trading hours over inclusion event. A separate analysis of two different sub-periods as well as of NASDAQ and NYSE listed stocks allows for a detailed examination of the price and volume effect in continuous time.

Real Effects Of S P 500 Index

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

Real Effects Of S P 500 Index 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 Business & Economics 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

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.

Closing The Question On The Continuation Of Turn Of The Month Effects

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Author : Edwin D. Maberly
language : en
Publisher:
Release Date : 2000

Closing The Question On The Continuation Of Turn Of The Month Effects written by Edwin D. Maberly and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Rate of return categories.

New Evidence On Stock Price Effects Associated With Changes In The S P 500 Index

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Author : Anthony W. Lynch
language : en
Publisher:
Release Date : 1995

New Evidence On Stock Price Effects Associated With Changes 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 1995 with Stocks categories.

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.

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.

The Liquidity Effects Of S P 500 Additions

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Author : John B. McDermott
language : en
Publisher:
Release Date : 2017

The Liquidity Effects Of S P 500 Additions written by John B. McDermott 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.

We argue that the addition of a stock to the Samp;P 500 index leads to an increase in the volume of liquidity-motivated trading in the stock by index investors. This, in turn, lowers the cost of supplying liquidity and generates abnormal returns. Consistent with this argument, we document a permanent increase in the liquidity of stocks added to the Samp;P 500 index. Specifically, the median quoted and effective spreads decrease and the median quoted depth, trading volume and trade frequencies increase over three months following listing. The improvement in liquidity is due primarily to a decrease in the median direct cost of transacting and a smaller decline in the median asymmetric information cost of transacting. Further, we find that the event period cumulative abnormal returns are strongly associated with the decrease in the direct cost of transacting. These findings provide strong support for a liquidity-based explanation for the observed wealth effect due to Samp;P 500 listing.

Closing The Question On The Continuation Of Turn Of The Month Effects

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Author : Edwin D. Maberly
language : en
Publisher:
Release Date : 2014

Closing The Question On The Continuation Of Turn Of The Month Effects written by Edwin D. Maberly 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.

Prior research documents unusually high returns on the last trading day of the month and over the next three consecutive trading days. This phenomenon is known as the turn-of-the-month (TOTM) effect. According to Siegel (1998), why these anomalies occur is not well understood, and whether they will continue to be significant in the future is an open question. In this paper, we examine the Samp;P 500 futures contract for evidence that turn-of-the-month effects have continued. Transaction costs are low for index futures, and the absence of short-sale restrictions makes index futures an attractive venue for testing the continuation of market anomalies because of the low cost of arbitrage. We find that TOTM effects for Samp;P 500 futures disappear after 1990, and this result carries over to the Samp;P 500 spot market. We conjecture that a change in the preference of individual investors over time from making direct to making indirect stock purchases through mutual funds is related to the disappearance of the TOTM effect for more recent return data. In this paper, we argue that turn-of-the-month return patterns for both spot and futures prices are dynamic and related to market microstructure and therefore subject to change without notice. Financial economists should be careful when making out-of-sample inferences from observed in-sample return regularities.

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.