Reconstitution Effects for the Russell 2000 Index - Biktimirov, Ernest
51,99 €
inkl. MwSt.
Versandkostenfrei*
Versandfertig in 6-10 Tagen
  • Broschiertes Buch

A significant body of research finds that stocks added to the S&P 500 index experience positive abnormal returns following the announcement. A number of competing hypotheses have been advanced to explain this reaction, but small sample sizes and other issues make it difficult to distinguish among them. This study examines the behavior of stock prices, trading volume, institutional ownership, and the number of market makers for companies added to or removed from the Russell 2000 index, which has a number of advantages over the S&P 500 in this context. The primary finding is that companies added…mehr

Andere Kunden interessierten sich auch für
Produktbeschreibung
A significant body of research finds that stocks added to the S&P 500 index experience positive abnormal returns following the announcement. A number of competing hypotheses have been advanced to explain this reaction, but small sample sizes and other issues make it difficult to distinguish among them. This study examines the behavior of stock prices, trading volume, institutional ownership, and the number of market makers for companies added to or removed from the Russell 2000 index, which has a number of advantages over the S&P 500 in this context. The primary finding is that companies added to or deleted from the Russell 2000 experience significant changes in stock price and trading volume, but the effect is transitory. The results support the price pressure hypothesis. This study should be of interest to academics who conduct research on index effects. It also should be useful to different groups of practitioners, such as index fund managers and investors trying to profit from stock index changes.
Autorenporträt
Ernest N. Biktimirov, Ph.D., CFA, graduated from the University of Kentucky with MBA in 1994 and PhD in finance in 1999. He is the winner of numerous teaching awards, and his papers won the best paper award at several conferences. Currently he is an Associate Professor of Finance at the Faculty of Business, Brock University, Canada.