The Price Response to S & P 500 Index Additions And Deletions : Evidence of Asymmetry And A New Explanation  

Oleh:

Singal, Vijay ; Honghtji, Chen ; Noronha, Gregory

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 59 no. 4 (Aug. 2004), page 1901-1930.
Topik: information asymmetry; studies; stock prices; securities markets; new stock market listings; stock market delistings; correlation analysis
Fulltext: p 1901.pdf (156.48KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We study the price effects of changes to the S & P 500 index and document an asymmetric price response: There is a permanent increase in the price of added firms but no permanent decline for deleted firms. These results are at odds with extant explanations of the effects of index changes that imply a symmetric price response to additions and deletions. A possible explanation for asymmetric price effects arises from the changes in investor awareness. Results from our empirical tests support the thesis that changes in investor awareness contribute to the asymmetric price effects of S&P 500 additions and deletions.

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