Regression Discontinuity and the Price Effects of Stock Market Indexing

• 成果类型: Article
• 署名作者: Chang, Yen-Cheng; Hong, Harrison; Liskovich, Inessa
• 署名单位: Shanghai Jiao Tong University; Princeton University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu041
• 发表日期: 2015
• 页码: 212
• 关键词: MUTUAL FUND PERFORMANCE; demand curves; liquidity; comovement; ADDITIONS; volume; style

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.