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Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures

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Author Info
Harris, Lawrence E
Gurel, Eitan
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Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 41 (1986)
Issue (Month): 4 (September)
Pages: 815-29
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Handle: RePEc:bla:jfinan:v:41:y:1986:i:4:p:815-29

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  1. Shah, Ajay & Fernandes, Kshama, 2000. "The relevance of index funds for pension investment in equities," Policy Research Working Paper Series 2494, The World Bank. [Downloadable!]
  2. Bryan Mase, 2002. "The Impact of Changes in the FTSE 100 Index," Economics and Finance Discussion Papers 02-25, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
  3. Ramon P. DeGennaro, 2003. "Direct investments in securities: A primer," Economic Review, Federal Reserve Bank of Atlanta, issue Q1, pages 1-14. [Downloadable!]
  4. Harrison Hong & Jeffrey D. Kubik & Jeremy C. Stein, 2005. "The Only Game in Town: Stock-Price Consequences of Local Bias," NBER Working Papers 11488, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. John R. Ezzell & James A. Miles & J. Harold Mulherin, 2001. "Is there Really a When-Issued Premium?," Claremont Colleges Working Papers 2001-34, Claremont Colleges. [Downloadable!]
  6. William N. Goetzmann & Philippe Jorion, 1997. "Re-emerging Markets," NBER Working Papers 5906, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  7. Bryan Mase, 2002. "The Impact of Changes in the FTSE 100 Index," Public Policy Discussion Papers 02-25, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
  8. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2001. "An Empirical Analysis of Stock and Bond Market Liquidity: Forthcoming in the Review of Financial Studies," University of California at Los Angeles, Anderson Graduate School of Management 1018, Anderson Graduate School of Management, UCLA. [Downloadable!]
  9. Andrew W. Lo & Jiang W. Wang, 2000. "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," NBER Working Papers 7625, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  10. Michael Brennan, 1993. "Agency and Asset Pricing," University of California at Los Angeles, Anderson Graduate School of Management 1147, Anderson Graduate School of Management, UCLA. [Downloadable!]
  11. Kenneth A. Froot & Andre F. Perold, 1990. "New Trading Practices and Short-run Market Efficiency," NBER Working Papers 3498, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  12. A. Gregoriou & CHRISTOS IOANNIDIS, 2003. "Liquidity Effects due to Information Costs from Changes in the FTSE 100 List," Public Policy Discussion Papers 03-02, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
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  13. Malcolm Baker & Joshua Coval & Jeremy C. Stein, 2004. "Corporate Financing Decisions When Investors Take the Path of Least Resistance," NBER Working Papers 10998, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  14. Jennifer Huang & Jiang Wang, 2008. "Liquidity and Market Crashes," NBER Working Papers 14013, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  15. Paul A. Gompers & Andrew Metrick, . "Institutional Investors and Equity Prices," Rodney L. White Center for Financial Research Working Papers 20-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
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  16. Randolph B. Cohen & Paul A. Gompers & Tuomo Vuolteenaho, 2002. "Who Underreacts to Cash-Flow News? Evidence from Trading between Individuals and Institutions," NBER Working Papers 8793, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  17. Bechmann, Ken L., 2002. "Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index - The KFX Index," Working Papers 2002-2, Copenhagen Business School, Department of Finance. [Downloadable!]
  18. Geert Bekaert & Campbell R. Harvey, 1998. "Capital Flows and the Behavior of Emerging Market Equity Returns," NBER Working Papers 6669, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  19. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2001. "Common determinants of bond and stock market liquidity: the impact of financial crises, monetary policy, and mutual fund flows," Staff Reports 141, Federal Reserve Bank of New York. [Downloadable!]
  20. Mark M. Carhart & Ron Kaniel & David K. Musto & Adam Reed, . "Mutual Fund Returns and Market Microstructure," Rodney L. White Center for Financial Research Working Papers 11-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
  21. Tarun Chordia & Richard Roll & Avanidhar Subrahmanyam, 2000. "Order Imbalance, Liquidity, and Market Returns," University of California at Los Angeles, Anderson Graduate School of Management 1073, Anderson Graduate School of Management, UCLA. [Downloadable!]
  22. Aditaya Kaul & Vikas Mehrotra & Blake Phillips, 2006. "Ownership, Foreign Listings, and Market Valuation," CEI Working Paper Series 2005-13, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
  23. Sanvicente, A. Z., 2001. "Captação de recursos por fundos de investimento e mercado de ações," Finance Lab Working Papers flwp_39, Finance Lab, Ibmec São Paulo. [Downloadable!]
  24. C. L. Osler, 2002. "Stop-loss orders and price cascades in currency markets," Staff Reports 150, Federal Reserve Bank of New York. [Downloadable!]
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