What's in the news? Information content of S&P 500 additions

被引：42
|
作者：
Cai, Jie [1 ]
机构：
[1] Drexel Univ, Philadelphia, PA 19104 USA
来源：
FINANCIAL MANAGEMENT | 2007年 / 36卷 / 03期
关键词：
D O I：
10.1111/j.1755-053X.2007.tb00083.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
I investigate the information content of S&P 500 index changes by examining the price and volume reaction of the industry and size matched firms. Using a sample of S&P 500 additions between 1976-2001, I find a significantly positive price reaction, but no volume reaction, for the matching firms. In addition, the matching firm price reaction is negatively related to the added firm weight in its industry. These findings suggest that the index addition conveys favorable information about the added firm and its industry.
引用
收藏
页码：113 / 124
页数：12
相关论文
共 50 条
  • [31] Modelling S&P 100 volatility: The information content of stock returns
    Blair, BJ
    Poon, SH
    Taylor, SJ
    JOURNAL OF BANKING & FINANCE, 2001, 25 (09) : 1665 - 1679
  • [32] A re-examination of the index effect: Gambling on additions to and deletions from the S&P 500' s 'gold seal'
    Kappou, Konstantina
    Brooks, Chris
    Ward, Charles W. R.
    RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2008, 22 (03) : 325 - 350
  • [33] Information effects of announced stock index additions: evidence from S&P 400
    Marek Marciniak
    Journal of Economics and Finance, 2012, 36 (4) : 822 - 849
  • [34] Social Web-Based Anxiety Index's Predictive Information on S&P 500 Revisited
    Olaniyan, Rapheal
    Stamate, Daniel
    Logofatu, Doina
    STATISTICAL LEARNING AND DATA SCIENCES, 2015, 9047 : 203 - 213
  • [35] S&P 500 index inclusion announcements: does the S&P committee tell us something new?
    Hrazdil, Karel
    MANAGERIAL FINANCE, 2010, 36 (05) : 368 - +
  • [36] Harnischfeger's comeback plan - The worst stock on the S&P 500
    Siegel, M
    FORTUNE, 1999, 139 (01) : 196 - +
  • [37] Pricing S&P 500 index options with Heston's model
    Zhang, JE
    Shu, JH
    2003 IEEE INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE FOR FINANCIAL ENGINEERING, PROCEEDINGS, 2003, : 85 - 92
  • [38] Trading behavior in S&P 500 index futures
    Smales, Lee A.
    REVIEW OF FINANCIAL ECONOMICS, 2016, 28 : 46 - 55
  • [39] Funding Illiquidity Implied by S&P 500 Derivatives
    Golez, Benjamin
    Jackwerth, Jens
    Slavutskaya, Anna
    RISKS, 2024, 12 (09)
  • [40] Forecasting S&P 500 spikes: an SVM approach
    Theophilos Papadimitriou
    Periklis Gogas
    Athanasios Fotios Athanasiou
    Digital Finance, 2020, 2 (3-4): : 241 - 258
12345