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Market responses to S&P exclusions: Evidence from the 2010-2019 period

Author

Listed:
  • Euikyu Choi

    (West Chester University of Pennsylvania)

  • Wei Du

    (West Chester University of Pennsylvania)

  • Orhan Kara

    (West Chester University of Pennsylvania)

  • Marek Marciniak

    (West Chester University of Pennsylvania)

Abstract

This study investigates the impact of S&P downgrades and deletions on the cumulative abnormal returns (CARs) of affected firms. The results show that the market does not view a company's downgrade as a negative event in the short term, and even perceives it as a positive event in the long-term. In addition, the significant negative impacts on the event day for deletion firms are fully reversed within 20 days. Our study shows that the short-term CARs are dependent on whether it is a downgrading or deletion event, market volatility, and the duration of the company's listing on the S&P. Interestingly, these factors do not exhibit any significant correlations with the long-term CARs.

Suggested Citation

  • Euikyu Choi & Wei Du & Orhan Kara & Marek Marciniak, 2023. "Market responses to S&P exclusions: Evidence from the 2010-2019 period," Economics Bulletin, AccessEcon, vol. 43(4), pages 1656-1665.
    • Handle: RePEc:ebl:ecbull:eb-23-00190
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    References listed on IDEAS

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    More about this item

    Keywords

    S&P indices; index delisting; index downgrading; event study;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services

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