The S&P 500 effect: not such good news in the long run
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- 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;Swiss Society for Financial Market Research, vol. 19(1), pages 61-98, June.
- Sónia Sousa & Ana Serra, 2008. "What drives idiosyncratic volatility over time?," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 7(3), pages 155-181, December.
- Danbolt, Jo & Hirst, Ian & Jones, Edward, 2018. "Gaming the FTSE 100 index," The British Accounting Review, Elsevier, vol. 50(4), pages 364-378.
- Houdou Basse Mama & Stefan Mueller & Ulrich Pape, 2017. "What’s in the news? The ambiguity of the information content of index reconstitutions in Germany," Review of Quantitative Finance and Accounting, Springer, vol. 49(4), pages 1087-1119, November.
- Khelifa Mazouz & Brahim Saadouni, 2007. "The price effects of FTSE 100 index revision: what drives the long-term abnormal return reversal?," Applied Financial Economics, Taylor & Francis Journals, vol. 17(6), pages 501-510.
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Keywords
Stock - Prices; Econometric models;NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2002-12-09 (Finance)
- NEP-FMK-2002-12-09 (Financial Markets)
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