The price response to S&P 500 index additions and deletions: Evidence of asymmetry and a new explanation

Journal of Finance

Volumn 59, Issue 4, 2004, Pages 1901-1930

  Chen, Honghui ^a   Noronha, Gregory ^b   Singal, Vijay ^c  

^a UNIVERSITY OF CENTRAL FLORIDA   (United States)

^b ARIZONA STATE UNIVERSITY WEST   (United States)

^c VIRGINIA POLYTECHNIC INSTITUTE AND STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 4344587739     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2004.00683.x     Document Type: Review

References (30)

1. Arbel, Avner, 1985, Generic stocks: The key to market anomalies, Journal of Portfolio Management 11, 4-13.
2. Barber, Brad, and Terrance Odean, 2001, All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors, Working paper, University of California, Berkeley.
3. Beneish, Messod D., and Robert E. Whaley, 1996, An anatomy of the "S&P 500 Game": The effects of changing the rules, Journal of Finance 51, 1909-1930.
4. Beneish, Messod D., and Robert E. Whaley, 2002, S&P 500 index replacements: A new game in town, Journal of Portfolio Management 29, 51-60.
5. Blouin, Jennifer, Jana Raedy, and Douglas Shackelford, 2000, The impact of capital gains taxes on stock price reactions to S&P 500 inclusion, NBER Working paper no. 8011.
6. Blume, Marshall, and Roger Edelen, 2001, On S&P 500 index replication strategies, Working paper, University of Pennsylvania.
7. Chan, Louis K.C., Narasimhan Jegadeesh, and Josef Lakonishok, 1995, Evaluating the performance of value versus glamour stocks: The impact of selection bias, Journal of Financial Economics 38, 269-296.
8. Chordia, Tarun, 2001, Liquidity and returns: The impact of inclusion into the S&P 500 index, Working paper, Emory University.
9. Corwin, Shane A., 2003, The determinants for underpricing for seasoned equity offers, Journal of Finance 58, 2249-2279.
10. Dash, Srikant, 2002, Price changes associated with S&P 500 deletions: Time variation and effect of size and share prices, Standard & Poor's (New York, NY), July 9. http://www.spglobal.com.
11. Denis, Diane, John McConnell, Alexei Ovtchinnikov, and Yun Yu, 2003, S&P 500 index additions and earnings expectations, Journal of Finance 58, 1821-1840.
12. Dhillon, Upinder, and Herb Johnson, 1991, Changes in the Standard and Poor's 500 list, Journal of Business 64, 75-86.
13. Elliott, William B., and Richard S. Warr, 2003, Price pressure on the NYSE and NASDAQ: Evidence from S&P 500 index changes, Financial Management 32, 85-99.
14. Foerster, Stephen R., and G. Andrew Karolyi, 1999, The effects of market segmentation and investor recognition on asset prices, Journal of Finance 54, 981-1013.
15. Goetzmann, William N., and Mark Garry, 1986, Does delisting from the S&P 500 affect stock price? Financial Analyst Journal 42, 64-69.
16. Harris, Lawrence, and Eitan Gurel, 1986, Price and volume effects associated with changes in the S&P 500: New evidence for the existence of price pressures, Journal of Finance 41, 815-830.
17. Hegde, Shantaram, and John McDermott, 2003, The liquidity effects of revisions to the S&P 500 index: An empirical analysis, Journal of Financial Markets 6, 413-459.
18. Jain, Prem C., 1987, The effect on stock price of inclusion in or exclusion from the S&P 500, Financial Analyst Journal 43, 58-65.
19. Kadlec, Gregory B., and John J. McConnell, 1994, The effect of market segmentation and illiquidity on asset prices: Evidence from exchange listings, Journal of Finance 49, 611-636.
20. Kaul, Aditya, Vikas Mehrotra, and Randall Morck, 2000, Demand curves for stocks do slope down: New evidence from an index weights adjustment, Journal of Finance 55, 893-912.
21. Lo, Andrew, and Jiang Wang, 2000, Trading volume: Definitions, data analysis, and implications of portfolio theory, Review of Financial Studies 13, 257-300.
22. Lynch, Anthony W., and Richard R. Mendenhall, 1997, New evidence on stock price effects associated with changes in the S&P 500 index, Journal of Business 70, 351-383.
23. Madhavan, Ananth, and Kewei Ming, 2002, The hidden costs of index rebalancing: A case study of the S&P 500 composition changes of July 19, 2002, Working paper, ITG Inc.
24. Mase, Bryan, 2002, The impact of changes in the FTSE 100 index, Working paper, Brunel University.
25. Merton, Robert C., 1987, Presidential address: A simple model of capital market equilibrium with incomplete information, Journal of Finance 42, 483-510.
26. Pruitt, Stephen W., and K. C. John Wei, 1989, Institutional ownership and changes in the S&P 500, Journal of Finance 44, 509-514.
27. Shapiro, Alexander, 2002, The investor recognition hypothesis in a dynamic general equilibrium: Theory and evidence, Review of Financial Studies 15, 97-141.
28. Shleifer, Andrei, 1986, Do demand curves for stocks slope down? Journal of Finance 41, 579-590.
29. Subrahmanyam, Avanidhar, and Sheridan Titman, 2001, Feedback from stock prices to cash flows, Journal of Finance 56, 2389-2413.
30. Wurgler, Jeffrey, and Katia Zhuravskaya, 2002, Does arbitrage flatten demand curves for stocks? Journal of Business 75, 583-608.