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An analysis of the importance of S&P 500 discretionary constituent changes

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  • John Geppert

    ()

  • Stoyu Ivanov

    ()

  • Gordon Karels

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11156-010-0193-0
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    Bibliographic Info

    Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

    Volume (Year): 37 (2011)
    Issue (Month): 1 (July)
    Pages: 21-34

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    Handle: RePEc:kap:rqfnac:v:37:y:2011:i:1:p:21-34

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    Web page: http://springerlink.metapress.com/link.asp?id=102990

    Related research

    Keywords: Beta changes; S&P500 constituents changes; Spectral analysis; G12; G14;

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    1. Shalit, Haim & Yitzhaki, Shlomo, 2002. " Estimating Beta," Review of Quantitative Finance and Accounting, Springer, vol. 18(2), pages 95-118, March.
    2. Graham, John R. & Harvey, Campbell R., 2001. "The theory and practice of corporate finance: evidence from the field," Journal of Financial Economics, Elsevier, vol. 60(2-3), pages 187-243, May.
    3. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    4. Graham, John R. & Harvey, Campbell R., 2005. "The long-run equity risk premium," Finance Research Letters, Elsevier, vol. 2(4), pages 185-194, December.
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