The Review of Asset Pricing Studies Vol. 7 No. 2 2017
Extended Stock Returns in Response to S&P 500 Index Changes
Abstract
Our paper investigates extended abnormal returns for S&P 500 index changes in a comprehensive 1979-2015 sample. The literature’s depiction of longer window returns lacked both appropriate nuance and cross-sectional analysis. Solid evidence for reversion appears in the 2000s. Stocks no longer experience permanent shifts in investor demand when they are either added to or removed from the S&P 500. Received April 19, 2016; editorial decision January 23, 2017 by Editor Jeffrey Pontiff
- DOI
- 10.1093/rapstu/rax012
- Volume
- 7
- Issue
- 2
- Pages
- 172-208
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib