What drives the S&P 500 inclusion effect? An analytical survey

被引：55

作者：

Elliott, William B. ^{[1
]}

Van Ness, Bonnie F.

Walker, Mark D.

Warr, Richard S.

机构：

[1] Oklahoma State Univ, Stillwater, OK 74078 USA

[2] Univ Mississippi, University, MS 38677 USA

[3] N Carolina State Univ, Raleigh, NC 27695 USA

来源：

FINANCIAL MANAGEMENT | 2006年 / 35卷 / 04期

关键词：

D O I：

10.1111/j.1755-053X.2006.tb00158.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We present an analytical survey of the explanations-price pressure, down ward-sloping demand curves, improved liquidity, improved operating performance, and increased investor awareness-for the increase in stock value associated with inclusion in the S&P 500 Index. We find that increased investor awareness is the primary factor behind the cross-section of abnormal announcement returns. We also find some evidence of temporary price pressure around the inclusion date. We find no evidence that long-run downward-sloping demand curves for stocks, anticipated improvements in operating performance, or increased liquidity are related to the cross-section of announcement or inclusion returns.

引用

页码：31 / 48

页数：18

共 30 条

[1] ASSET PRICING AND THE BID ASK SPREAD [J].