메뉴 건너뛰기




Volumn 14, Issue 1, 2005, Pages 93-112

The index revision party

Author keywords

Additions; AEX; Deletions; Index adjustment; Index revision

Indexed keywords


EID: 11444252974     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2004.06.006     Document Type: Article
Times cited : (9)

References (22)
  • 1
    • 84864384309 scopus 로고    scopus 로고
    • Stock Index Futures and the Effect on Cash Market in Italy: Evidence from Changes in Indexes' Composition
    • working paper
    • Barontini R. Rigamonti S. (2000). Stock Index Futures and the Effect on Cash Market in Italy: Evidence from Changes in Indexes' Composition, working paper.
    • (2000)
    • Barontini, R.1    Rigamonti, S.2
  • 2
    • 84974487256 scopus 로고
    • Information costs and liquidity effects from changes in the Dow Jones Industrial Average List
    • Beneish M.D. Gardner J.C. Information costs and liquidity effects from changes in the Dow Jones Industrial Average List Journal of Financial and Quantitative Analysis 30 1 1995 135-157
    • (1995) Journal of Financial and Quantitative Analysis , vol.30 , Issue.1 , pp. 135-157
    • Beneish, M.D.1    Gardner, J.C.2
  • 3
    • 0000403214 scopus 로고    scopus 로고
    • An anatomy of the "S-P Game": The effects of changing the rules
    • December
    • Beneish M.D. Whaley R.E. An anatomy of the "S-P Game": The effects of changing the rules Journal of Finance 51 5 1996, December 1909-1930
    • (1996) Journal of Finance , vol.51 , Issue.5 , pp. 1909-1930
    • Beneish, M.D.1    Whaley, R.E.2
  • 4
    • 36749092418 scopus 로고
    • Using daily stock returns: The case of event studies
    • Brown S.J. Warner J.B. Using daily stock returns: The case of event studies Journal of Financial Economics 14 1 1985 3-31
    • (1985) Journal of Financial Economics , vol.14 , Issue.1 , pp. 3-31
    • Brown, S.J.1    Warner, J.B.2
  • 5
    • 43949169695 scopus 로고
    • Institutional trades and intraday stock price behavior
    • Chan L.K.C. Lakonishok J. Institutional trades and intraday stock price behavior Journal of Financial Economics 33 2 1993 173-199
    • (1993) Journal of Financial Economics , vol.33 , Issue.2 , pp. 173-199
    • Chan, L.K.C.1    Lakonishok, J.2
  • 6
    • 11444267377 scopus 로고    scopus 로고
    • Are the market effects associated with revisions to the TSE300 index robust?
    • Chung R. Kryzanowski L. Are the market effects associated with revisions to the TSE300 index robust? Multinational Finance Journal 2 1 1998 1-36
    • (1998) Multinational Finance Journal , vol.2 , Issue.1 , pp. 1-36
    • Chung, R.1    Kryzanowski, L.2
  • 7
    • 11444251693 scopus 로고    scopus 로고
    • Stock price effects associated with index replacements in Germany
    • working paper
    • Deininger C. Kaserer C. Roos S. (2000). Stock price effects associated with index replacements in Germany, working paper.
    • (2000)
    • Deininger, C.1    Kaserer, C.2    Roos, S.3
  • 8
    • 0001909759 scopus 로고
    • Changes in the Standard and Poor's 500 List
    • Dhillon U. Johnson H. Changes in the Standard and Poor's 500 List Journal of Business 64 1 1991 75-85
    • (1991) Journal of Business , vol.64 , Issue.1 , pp. 75-85
    • Dhillon, U.1    Johnson, H.2
  • 9
    • 84986505780 scopus 로고
    • Excess returns of index replacement stocks: Evidence of liquidity and substitutability
    • Fall
    • Edmister R.O. Graham A.S. Pirie W.L. Excess returns of index replacement stocks: Evidence of liquidity and substitutability The Journal of Financial Research 17 3 1994, Fall 333-346
    • (1994) The Journal of Financial Research , vol.17 , Issue.3 , pp. 333-346
    • Edmister, R.O.1    Graham, A.S.2    Pirie, W.L.3
  • 10
    • 0000480869 scopus 로고
    • Efficient capital markets: A review of theory and empirical work
    • Fama E.F. Efficient capital markets: A review of theory and empirical work Journal of Finance 25 2 1970 383-417
    • (1970) Journal of Finance , vol.25 , Issue.2 , pp. 383-417
    • Fama, E.F.1
  • 11
    • 0000029776 scopus 로고
    • Efficient capital markets: II
    • Fama E.F. Efficient capital markets: II Journal of Finance 46 5 1991 1575-1617
    • (1991) Journal of Finance , vol.46 , Issue.5 , pp. 1575-1617
    • Fama, E.F.1
  • 12
    • 84886231184 scopus 로고
    • Price and volume effects associated with changes in the S-P 500 list: New evidence for the existence of price pressures
    • September
    • Harris L. Gurel E. 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 4 1986, September 815-829
    • (1986) Journal of Finance , vol.41 , Issue.4 , pp. 815-829
    • Harris, L.1    Gurel, E.2
  • 13
    • 0037403015 scopus 로고    scopus 로고
    • The liquidity effects of revisions to the S-P 500 index: An empirical analysis
    • Hegde S.P. McDermott J.B. The liquidity effects of revisions to the S-P 500 index: An empirical analysis Journal of Financial Markets 6 3 2003 413-459
    • (2003) Journal of Financial Markets , vol.6 , Issue.3 , pp. 413-459
    • Hegde, S.P.1    McDermott, J.B.2
  • 14
    • 0001854524 scopus 로고
    • The effect on stock price of inclusion in or exclusion from the S-P 500
    • January-February
    • Jain P.C. The effect on stock price of inclusion in or exclusion from the S-P 500 Financial Analysts Journal 43 1 1987, January-February 58-65
    • (1987) Financial Analysts Journal , vol.43 , Issue.1 , pp. 58-65
    • Jain, P.C.1
  • 15
    • 0040196030 scopus 로고    scopus 로고
    • Demand curves do slope down: New evidence from an index weights adjustment
    • Kaul A. Mehrotra V. Morck R. Demand curves do slope down: New evidence from an index weights adjustment Journal of Finance 55 2 2000 893-912
    • (2000) Journal of Finance , vol.55 , Issue.2 , pp. 893-912
    • Kaul, A.1    Mehrotra, V.2    Morck, R.3
  • 16
    • 11444257065 scopus 로고    scopus 로고
    • Changes in the Nikkei 500: New evidence for downward-sloping demand curves for stocks
    • Liu S. Changes in the Nikkei 500: New evidence for downward-sloping demand curves for stocks International Review of Finance 1 4 2000 245-267
    • (2000) International Review of Finance , vol.1 , Issue.4 , pp. 245-267
    • Liu, S.1
  • 17
    • 0000177414 scopus 로고    scopus 로고
    • New evidence on stock price effects associated with changes in the S-P 500 index
    • Lynch A.W. Mendehall R.R. New evidence on stock price effects associated with changes in the S-P 500 index Journal of Business 70 3 1997 351-383
    • (1997) Journal of Business , vol.70 , Issue.3 , pp. 351-383
    • Lynch, A.W.1    Mendehall, R.R.2
  • 18
    • 11444258825 scopus 로고    scopus 로고
    • The Russell reconstitution effect
    • Madhavan A. The Russell reconstitution effect Financial Analysts Journal 59 4 2003 51-64
    • (2003) Financial Analysts Journal , vol.59 , Issue.4 , pp. 51-64
    • Madhavan, A.1
  • 19
    • 84977707554 scopus 로고
    • A simple model of capital market equilibrium with incomplete information
    • Merton R.C. A simple model of capital market equilibrium with incomplete information Journal of Finance 42 3 1987 482-510
    • (1987) Journal of Finance , vol.42 , Issue.3 , pp. 482-510
    • Merton, R.C.1
  • 20
    • 0009023095 scopus 로고
    • Price and volume effects associated with changes in the Dow Jones averages
    • Polonchek J. Krehbiel T. Price and volume effects associated with changes in the Dow Jones averages Quarterly Review of Economics and Finance 34 4 1994 305-316
    • (1994) Quarterly Review of Economics and Finance , vol.34 , Issue.4 , pp. 305-316
    • Polonchek, J.1    Krehbiel, T.2
  • 21
    • 84977719222 scopus 로고
    • Institutional ownership and changes in the S-P 500
    • Pruitt S.W. Wei K.C.J. Institutional ownership and changes in the S-P 500 Journal of Finance 44 2 1989 509-513
    • (1989) Journal of Finance , vol.44 , Issue.2 , pp. 509-513
    • Pruitt, S.W.1    Wei, K.C.J.2
  • 22
    • 0000183976 scopus 로고
    • Do demand curves for stocks slope down?
    • July
    • Shleifer A. Do demand curves for stocks slope down? Journal of Finance 41 3 1986, July 579-590
    • (1986) Journal of Finance , vol.41 , Issue.3 , pp. 579-590
    • Shleifer, A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.