What Drives the S&P 500 Inclusion Effect? An Analytical Survey
AbstractWe present an analytical survey of the explanations-price pressure, downward-sloping demand curves, improved liquidity, improved operating performance, and increased investor awareness-for the increase in stock value associated with inclusion in the S&P 500 Index. We find that increased investor awareness is the primary factor behind the cross-section of abnormal announcement returns. We also find some evidence of temporary price pressure around the inclusion date. We find no evidence that long-run downward-sloping demand curves for stocks, anticipated improvements in operating performance, or increased liquidity are related to the cross-section of announcement or inclusion returns. Copyright (c) 2006 Financial Management Association International.
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Bibliographic InfoArticle provided by Financial Management Association International in its journal Financial Management.
Volume (Year): 35 (2006)
Issue (Month): 4 (December)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0046-3892
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- Levy, Tamir & Yagil, Joseph, 2013. "Changing the methodology of equity indices—The case of the Tel-Aviv Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 91-99.
- Chan, Kalok & Kot, Hung Wan & Tang, Gordon Y.N., 2013. "A comprehensive long-term analysis of S&P 500 index additions and deletions," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4920-4930.
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