Regression Discontinuity and the Price Effects of Stock Market Indexing

被引：119

作者：

Chang, Yen-Cheng ^{[1
]}

Hong, Harrison ^{[2
]}

Liskovich, Inessa ^{[2
]}

机构：

[1] Shanghai Jiao Tong Univ, Shanghai Adv Inst Finance, Shanghai 200030, Peoples R China

[2] Princeton Univ, Princeton, NJ 08544 USA

来源：

REVIEW OF FINANCIAL STUDIES | 2015年 / 28卷 / 01期

基金：

中国国家自然科学基金; 美国国家科学基金会;

关键词：

MUTUAL FUND PERFORMANCE; DEMAND CURVES; LIQUIDITY; COMOVEMENT; ADDITIONS; VOLUME; STYLE;

D O I：

10.1093/rfs/hhu041

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The Russell 1000 and 2000 stock indexes comprise the first 1000 and next 2000 largest firms ranked by market capitalization. Small changes in the capitalizations of firms ranked near 1000 move them between these indexes. Because the indexes are value-weighted, more money tracks the largest stocks in the Russell 2000 than the smallest in the Russell 1000. Using this discontinuity, we find that additions to the Russell 2000 result in price increases and deletions result in price declines. We then identify time trends in indexing effects and the types of funds that provide liquidity to indexers.

引用

页码：212 / 246

页数：35

共 33 条

[1] All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors [J].