A comprehensive long-term analysis of S&P 500 index additions and deletions
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 4920-4930 |
| Journal / Publication | Journal of Banking and Finance |
| Volume | 37 |
| Issue number | 12 |
| Publication status | Published - Dec 2013 |
| Externally published | Yes |
Link(s)
Abstract
We investigate the long-term effects of S&P 500 index additions and deletions on a sample of stocks from 1962 to 2003 and find a significant long-term price increase for both added and deleted stocks, with deleted stocks outperforming added stocks. The long-term price increase for added stocks can be attributed to increases in institutional ownership, liquidity, and analyst coverage, and a decrease in the shadow cost in the long-term. However, while deletion has no significant effect on analyst coverage and shadow cost, we find a rebound in the institutional ownership and liquidity of deleted stocks. The difference in the long-term price increase of added and deleted stocks can be explained by analyst coverage and operating performance. © 2013.
Research Area(s)
- Information quality, Liquidity, Long-run performance, Operating performance, S&P 500 index revision
Citation Format(s)
A comprehensive long-term analysis of S&P 500 index additions and deletions. / Chan, Kalok; Kot, Hung Wan; Tang, Gordon Y.N.
In: Journal of Banking and Finance, Vol. 37, No. 12, 12.2013, p. 4920-4930.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
