S & P 500 index replacements

Journal of Portfolio Management

Volumn 29, Issue 1, 2002, Pages 51-60

  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: 0036760744     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2002.319863     Document Type: Article

References (6)

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), pp. 1909-1930.
2. _. "A Scorecard from the S & P Game." The Journal of Portfolio Management, 23 (Winter 1997), pp. 16-23.
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 (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 (1965), pp. 13-37.
5. Sharpe, William F. "Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk." Journal of Finance, 19 (1964), pp. 425-442.
6. Shleifer, Andrei. "Do Demand Curves for Stocks Slope Down?" Journal of Finance, 41 (1986), pp. 579-590.