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Institutional Ownership and Changes in the S&P 500

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  • Pruitt, Stephen W
  • Wei, K C John

Abstract

Several recent articles have provided new evidence for the existence of price pressures by examining the price and volume effects associated with changes in the S&P 500. The present study extends this work by examining actual changes in institutional holdings following both additions to, and deletions from, the S&P 500. The results show that changes in institutional holdings in response to additions to, or deletions from, the S&P 500 are positively correlated. In addition to providing further evidence for the existence of price pressure effects, the results also provide evidence of the very large institutional elasticities of demand for stock. Copyright 1989 by American Finance Association.

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Bibliographic Info

Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 44 (1989)
Issue (Month): 2 (June)
Pages: 509-13

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Handle: RePEc:bla:jfinan:v:44:y:1989:i:2:p:509-13

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Cited by:
  1. Andros Gregoriou & Christos Ioannidis, 2006. "Information costs and liquidity effects from changes in the FTSE 100 list," The European Journal of Finance, Taylor & Francis Journals, vol. 12(4), pages 347-360.
  2. 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.
  3. Philippe Aghion & John Van Reenen & Luigi Zingales, 2009. "Innovation and Institutional Ownership," NBER Working Papers 14769, National Bureau of Economic Research, Inc.
  4. 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.
  5. Cuoco, Domenico & Kaniel, Ron, 2009. "Equilibrium Prices in the Presence of Delegated Portfolio Management," CEPR Discussion Papers 7453, C.E.P.R. Discussion Papers.
  6. Bryan Mase, 2006. "Investor awareness and the long-term impact of FTSE 100 index redefinitions," Applied Financial Economics, Taylor & Francis Journals, vol. 16(15), pages 1113-1118.
  7. Daniel Pullen & Gerard Gannon, 2007. "The Index Effect: An Investigation of the Price, Volume and Trading Effects Surrounding Changes to the S & P Australian Indices," Accounting, Finance, Financial Planning and Insurance Series 2007_07, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  8. Gonul Colak, 2012. "IPO characteristics of index firms," Managerial Finance, Emerald Group Publishing, vol. 38(12), pages 1134-1159.

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