메뉴 건너뛰기




Volumn 26, Issue 4, 2006, Pages 409-430

On Russell index reconstitution

Author keywords

[No Author keywords available]

Indexed keywords


EID: 33645976771     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1007/s11156-006-7441-3     Document Type: Article
Times cited : (21)

References (22)
  • 4
    • 0000403214 scopus 로고    scopus 로고
    • An anatomy of the 'S&P game': The effects of changing the game
    • Beneish MD, Whaley RE (1996) An anatomy of the 'S&P game': The effects of changing the game, Journal of Finance 51:1909-1930
    • (1996) Journal of Finance , vol.51 , pp. 1909-1930
    • Beneish, M.D.1    Whaley, R.E.2
  • 6
    • 4344587739 scopus 로고    scopus 로고
    • The price response to S&P 500 index additions and deletions: Evidence of asymmetry and a new explanation
    • Chen H., Noronha G, Singal V (2004) The price response to S&P 500 Index Additions and Deletions: Evidence of asymmetry and a new explanation. Journal of Finance 59:1901-1929
    • (2004) Journal of Finance , vol.59 , pp. 1901-1929
    • Chen, H.1    Noronha, G.2    Singal, V.3
  • 8
    • 0002014264 scopus 로고    scopus 로고
    • Evidence on the characteristics of cross sectional variation in stock returns
    • Daniel K, Titman S (1997) Evidence on the characteristics of cross sectional variation in stock returns. Journal of Finance 52:1-33
    • (1997) Journal of Finance , vol.52 , pp. 1-33
    • Daniel, K.1    Titman, S.2
  • 9
    • 0001909759 scopus 로고
    • Changes in the standard and poor's list
    • Dhillon U, Houston H (1991) Changes in the Standard and Poor's list. Journal of Business 64:75-85
    • (1991) Journal of Business , vol.64 , pp. 75-85
    • Dhillon, U.1    Houston, H.2
  • 10
    • 0013413658 scopus 로고    scopus 로고
    • Multifactor explanations of asset pricing anomalies
    • Fama EF, French KR (1996) Multifactor explanations of asset pricing anomalies. Journal of Finance 51:55-84
    • (1996) Journal of Finance , vol.51 , pp. 55-84
    • Fama, E.F.1    French, K.R.2
  • 11
    • 0000928969 scopus 로고
    • Risk, return and equilibrium: Empirical tests
    • Fama, Eugene F., and James MacBeth (1973) Risk, return and equilibrium: Empirical tests. Journal of Political Economy 81:607-636
    • (1973) Journal of Political Economy , vol.81 , pp. 607-636
    • Fama, E.F.1    MacBeth, J.2
  • 12
    • 0000836177 scopus 로고
    • Estimation of the bid-ask spread and its components: A new approach
    • George T, Kaul G, Nimalendran M (1991) Estimation of the bid-ask spread and its components: A new approach. Review of Financial Studies 4:623-656
    • (1991) Review of Financial Studies , vol.4 , pp. 623-656
    • George, T.1    Kaul, G.2    Nimalendran, M.3
  • 13
    • 84886231184 scopus 로고
    • Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures
    • Harris L, Gurel E (1986) Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures. Journal of Finance 41:815-829
    • (1986) Journal of Finance , vol.41 , pp. 815-829
    • Harris, L.1    Gurel, E.2
  • 14
    • 0037403015 scopus 로고    scopus 로고
    • The liquidity effects of revisions to the S&P 500 index: An empirical analysis
    • Hegde S, McDermott J (2003) The liquidity effects of revisions to the S&P 500 index: An empirical analysis. Jounal of Financial Markets 6:413-459
    • (2003) Jounal of Financial Markets , vol.6 , pp. 413-459
    • Hegde, S.1    McDermott, J.2
  • 15
    • 0040196030 scopus 로고    scopus 로고
    • Demand curves for stocks do slope down: New evidence from an index weights adjustment
    • Kaul A, Mehrotra V, Morck R (2000) Demand curves for stocks do slope down: New evidence from an index weights adjustment. Journal of Finance 55:893-912
    • (2000) Journal of Finance , vol.55 , pp. 893-912
    • Kaul, A.1    Mehrotra, V.2    Morck, R.3
  • 16
    • 3843112765 scopus 로고
    • Spreads, depths, and the impact of earnings information: An intraday analysis
    • Lee CMC, Mucklow B, Ready MJ (1991) Spreads, depths, and the impact of earnings information: An intraday analysis. Review of Financial Studies 6:345-374
    • (1991) Review of Financial Studies , vol.6 , pp. 345-374
    • Lee, C.M.C.1    Mucklow, B.2    Ready, M.J.3
  • 17
    • 84977730741 scopus 로고
    • Inferring trade direction from intraday data
    • Lee CMC, Ready MJ (1991) Inferring trade direction from intraday data. Journal of Finance 46:733-746
    • (1991) Journal of Finance , vol.46 , pp. 733-746
    • Lee, C.M.C.1    Ready, M.J.2
  • 18
    • 0000177414 scopus 로고    scopus 로고
    • New evidence on stock price effects associated with changes in the S&P 500 index
    • Lynch AW, Mendenhall RR (1997) New evidence on stock price effects associated with changes in the S&P 500 index. Journal of Business 70:351-383
    • (1997) Journal of Business , vol.70 , pp. 351-383
    • Lynch, A.W.1    Mendenhall, R.R.2
  • 19
    • 11444258825 scopus 로고    scopus 로고
    • The Russell reconstitution effect
    • Madhavan A (2003) The Russell reconstitution effect. Financial Analysts Journal 59:51-64
    • (2003) Financial Analysts Journal , vol.59 , pp. 51-64
    • Madhavan, A.1
  • 20
    • 0000183976 scopus 로고
    • Do demand curves for stocks slope down?
    • Shleifer A (1986) Do demand curves for stocks slope down? Journal of Finance 41:579-590
    • (1986) Journal of Finance , vol.41 , pp. 579-590
    • Shleifer, A.1
  • 21
    • 33645986850 scopus 로고    scopus 로고
    • How well do adverse selection components measure adverse selection?
    • Kansas State University
    • Van Ness B, Van Ness R, Warr R (2000) How well do adverse selection components measure adverse selection? Working paper, Kansas State University
    • (2000) Working Paper
    • Van Ness, B.1    Van Ness, R.2    Warr, R.3
  • 22
    • 0013001268 scopus 로고
    • S&P 500 trading strategies and stock betas
    • Vijh AM (1994) S&P 500 Trading Strategies and Stock Betas. Review of Financial Studies 7:215-251
    • (1994) Review of Financial Studies , vol.7 , pp. 215-251
    • Vijh, A.M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.