A scorecard from the S&P game: Can I play?

Journal of Portfolio Management

Volumn 23, Issue 2, 1997, Pages 16-23

  Beneish, Messod D ^a   Whaley, Robert E ^b  

^a INDIANA UNIVERSITY   (United States)

^b DUKE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031498277     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.23.2.16     Document Type: Article

References (9)

1. Beneish, Messod D., and Robert E. Whaley. "An Anatomy of the 'S&P Game': The Effects of Changing the Rules." Journal of Finance, 51 (December 1996).
2. Bogle, John C. Bogle on Mutual Funds: New Perspectives for Intelligent Investors. Burr Ridge, IL: Irwin Professional Publishing, 1994.
3. Harris, Lawrence, and Eitan Gurel. "Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures." Journal of Finance, 41 (September 1986), pp. 815-829.
4. Lintner, John. "The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets." Review of Economics and Statistics, 47 (February 1965), pp. 3-37.
5. Miller, Merton H., Jay Muthuswamy, and Robert E. Whaley. "Mean Reversion of S&P 500 Index Basis Changes: Arbitrage-Induced or Statistical Illusion?" Journal of Finance, 49 (June 1994), pp. 479-513.
6. "S&P 500 Index Directory." Standard & Poor's, 1992.
7. Sharpe, William F. "Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk." Journal of Finance, 19 (September 1964), pp. 425-442.
8. Shleifer, Andrei. "Do Demand Curves for Stocks Slope Down?" Journal of Finance, 41 (July 1986), pp. 579-590.
9. Stoll, Hans R., and Robert E. Whaley. "The Dynamics of Stock Index and Stock Index Futures Returns." Journal of Financial and Quantitative Analysis, 25 (December 1990), pp. 441-468.