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Publication year
An Anatomy of the "S&P Game": The Effects of Changing the Rules.
Resource type
Authors/contributors
- Beneish, Messod D (Author)
- Whaley, Robert E (Author)
Title
An Anatomy of the "S&P Game": The Effects of Changing the Rules.
Abstract
This study analyzes the effects of changes in S&P 500 index composition from January 1986 through June 1994, a period during which Standard and Poor's began its practice of preannouncing changes five days beforehand. The new announcement practice has given rise to the 'S&P game' and has altered the way stock prices react. The authors find that prices increase abnormally from the close on the announcement day to the close on the effective day. The overall increase is greater than under the old announcement policy, although part of the increase reverses after the stock is included in the index.
Publication
The Journal of Finance
Volume
51
Issue
5
Pages
1909-30
Date
1996-12
Citation
Beneish, M. D., & Whaley, R. E. (1996). An Anatomy of the “S&P Game”: The Effects of Changing the Rules. The Journal of Finance, 51, 1909–1930.
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