Journal of Banking & Finance Vol. 154 2023
Additions to and deletions from the S&P 500 index: A resolution to the asymmetric price response puzzle
Abstract
We resolve the asymmetric price response puzzle for additions to and deletions from the S&P 500 documented in Chen, Noronha, and Singal (2004) by using a more appropriate methodology to measure abnormal returns and correctly adjusting for outliers. In contrast to their findings, our results show a permanent price response for both additions and deletions. We further distinguish between firms transferred into other S&P indices and true additions/deletions (firms not added from or placed into other S&P indices). We find a permanent price increase for true additions and a permanent decline in price for true deletions from the S&P 500.
- DOI
- 10.1016/j.jbankfin.2023.106976
- Volume
- 154
- Pages
- 106976
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref