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The index revision party

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  • Doeswijk, Ronald Q.
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    File URL: http://www.sciencedirect.com/science/article/B6W4W-4CRY02P-1/2/7a4bbe3bcc5214c19dc5993765958345
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    Bibliographic Info

    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 14 (2005)
    Issue (Month): 1 ()
    Pages: 93-112

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    Handle: RePEc:eee:finana:v:14:y:2005:i:1:p:93-112

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    Web page: http://www.elsevier.com/locate/inca/620166

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Aditya Kaul & Vikas Mehrotra & Randall Morck, 2000. "Demand Curves for Stocks "Do "Slope Down: New Evidence from an Index Weights Adjustment," Journal of Finance, American Finance Association, vol. 55(2), pages 893-912, 04.
    2. Dhillon, Upinder & Johnson, Herb, 1991. "Changes in the Standard and Poor's 500 List," The Journal of Business, University of Chicago Press, vol. 64(1), pages 75-85, January.
    3. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    4. Chan, Louis K. C. & Lakonishok, Josef, 1993. "Institutional trades and intraday stock price behavior," Journal of Financial Economics, Elsevier, vol. 33(2), pages 173-199, April.
    5. Polonchek, John & Krehbiel, Tim, 1994. "Price and volume effects associated with changes in the Dow Jones Averages," The Quarterly Review of Economics and Finance, Elsevier, vol. 34(4), pages 305-316.
    6. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
    7. Merton, Robert C., 1987. "A simple model of capital market equilibrium with incomplete information," Working papers 1869-87., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    8. Shinhua Liu, 2000. "Changes in the Nikkei 500: New Evidence for Downward Sloping Demand Curves for Stocks," International Review of Finance, International Review of Finance Ltd., vol. 1(4), pages 245-267.
    9. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
    10. Edmister, Robert O & Graham, A Steven & Pirie, Wendy L, 1994. "Excess Returns of Index Replacement Stocks: Evidence of Liquidity and Substitutability," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 17(3), pages 333-46, Fall.
    11. Shleifer, Andrei, 1986. " Do Demand Curves for Stocks Slope Down?," Journal of Finance, American Finance Association, vol. 41(3), pages 579-90, July.
    12. Beneish, Messod D. & Gardner, John C., 1995. "Information Costs and Liquidity Effects from Changes in the Dow Jones Industrial Average List," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(01), pages 135-157, March.
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    Cited by:
    1. Mazouz, Khelifa & Saadouni, Bharim, 2007. "New evidence on the price and liquidity effects of the FTSE 100 index revisions," International Review of Financial Analysis, Elsevier, vol. 16(3), pages 223-241.

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