IDEAS home Printed from
   My bibliography  Save this article

Does Inclusion in a Smaller S&P Index Create Value?


  • John R. Becker-Blease
  • Donna L. Paul


This study finds overall increases in equity value surrounding addition to the S&P SmallCap and MidCap indexes from 1996 to 2003 and investigates sources of the value gains. Following addition, there are significant increases in proxy variables for stock liquidity and investor recognition, and changes in these variables are impounded into the permanent component of announcement share price revisions. We also find that changes in capital investment intensity are increasing in changes in stock liquidity, consistent with a reduction in the cost of capital following index addition. Copyright (c) 2010, The Eastern Finance Association.

Suggested Citation

  • John R. Becker-Blease & Donna L. Paul, 2010. "Does Inclusion in a Smaller S&P Index Create Value?," The Financial Review, Eastern Finance Association, vol. 45(2), pages 307-330, May.
  • Handle: RePEc:bla:finrev:v:45:y:2010:i:2:p:307-330

    Download full text from publisher

    File URL:
    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 search for a different version of it.

    References listed on IDEAS

    1. P. Hartmann & S. Straetmans & C. G. de Vries, 2004. "Asset Market Linkages in Crisis Periods," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 313-326, February.
    2. Brian M Lucey, Valerio Poti, Edel Tully, 2006. "International Portfolio Formation, Skewness & the Role of Gold," Frontiers in Finance and Economics, SKEMA Business School, vol. 3(1), pages 49-68, June.
    3. Capie, Forrest & Mills, Terence C. & Wood, Geoffrey, 2005. "Gold as a hedge against the dollar," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(4), pages 343-352, October.
    4. Gonzalo, Jesús & Olmo, José, 2005. "Contagion versus flight to quality in financial markets," UC3M Working papers. Economics we051810, Universidad Carlos III de Madrid. Departamento de Economía.
    5. Christophe Faugere & Julian Van Erlach, 2004. "The Price of Gold: A Global Required Yield Theory," Finance 0403003, EconWPA.
    6. Davidson, Sinclair & Faff, Robert & Hillier, David, 2003. "Gold factor exposures in international asset pricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(3), pages 271-289, July.
    7. Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-350, July.
    Full references (including those not matched with items on IDEAS)


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

    Cited by:

    1. Chen, Haiwei & Ngo, Thanh, 2017. "Leverage-based index revisions: The case of Dow Jones Islamic Market World Index," Global Finance Journal, Elsevier, vol. 32(C), pages 16-34.
    2. repec:kap:rqfnac:v:49:y:2017:i:4:d:10.1007_s11156-017-0617-1 is not listed on IDEAS

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:finrev:v:45:y:2010:i:2:p:307-330. 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). General contact details of provider: .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.