Advanced Search
MyIDEAS: Login to save this article or follow this journal

Do Demand Curves for Small Stocks Slope Down?

Contents:

Author Info

  • Ernest N. Biktimirov
  • Arnold R. Cowan
  • Bradford D. Jordan

Abstract

Stocks added to the S&P 500 generally experience positive abnormal returns following the announcement. Several competing explanations exist for this reaction, but small sample sizes and other issues make it difficult to distinguish among them. We examine this subject using the small-cap Russell 2000 index, which has several advantages over the S&P 500 in this context. Our primary finding is that stocks added to or deleted from the Russell 2000 experience significant changes in stock price and trading volume, but the effect is transitory. The results support the price pressure hypothesis. 2004 The Southern Finance Association and the Southwestern Finance Association.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1475-6803.2004.t01-1-00077.x
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.

Volume (Year): 27 (2004)
Issue (Month): 2 ()
Pages: 161-178

as in new window
Handle: RePEc:bla:jfnres:v:27:y:2004:i:2:p:161-178

Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0270-2592
More information through EDIRC

Email:
Web page: http://www.southwesternfinance.org/
More information through EDIRC

Order Information:
Web: http://www.blackwellpublishing.com/subs.asp?ref=0270-2592

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Sascha Wilkens & Jens Wimschulte, 2005. "Price and Volume Effects Associated with 2003’s Major Reorganization of German Stock Indices," Financial Markets and Portfolio Management, Springer, Springer, vol. 19(1), pages 61-98, June.
  2. Linus Wilson, 2011. "Stock demand curves and TARP returns," Journal of Financial Economic Policy, Emerald Group Publishing, Emerald Group Publishing, vol. 3(3), pages 229-242, August.
  3. Hsiu-Lang Chen, 2006. "On Russell index reconstitution," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 26(4), pages 409-430, June.
  4. Bennour, Khaled, 2011. "On the demand pressure hypothesis in option markets: the case of a redundant option," MPRA Paper 52497, University Library of Munich, Germany.
  5. Karel Hrazdil, 2010. "S&P 500 index inclusion announcements: does the S&P committee tell us something new," Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 36(5), pages 368-393, May.
  6. 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, Elsevier, vol. 37(12), pages 4920-4930.
  7. Yun, Jooyoung & Kim, Tong S., 2010. "The effect of changes in index constitution: Evidence from the Korean stock market," International Review of Financial Analysis, Elsevier, Elsevier, vol. 19(4), pages 258-269, September.
  8. Bildik, Recep & Gulay, Guzhan, 2008. "The effects of changes in index composition on stock prices and volume: Evidence from the Istanbul stock exchange," International Review of Financial Analysis, Elsevier, Elsevier, vol. 17(1), pages 178-197.
  9. Ernest Biktimirov & Boya Li, 2014. "Asymmetric stock price and liquidity responses to changes in the FTSE SmallCap index," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 42(1), pages 95-122, January.
  10. Petajisto, Antti, 2011. "The index premium and its hidden cost for index funds," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(2), pages 271-288, March.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bla:jfnres:v:27:y:2004:i:2:p:161-178. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.