The price response to S&P 500 index additions and deletions: Evidence of asymmetry and a new explanation

• 成果类型: Article
• 署名作者: Chen, HH; Noronha, G; Singal, V
• 署名单位: State University System of Florida; University of Central Florida; Arizona State University; Arizona State University-Tempe; Virginia Polytechnic Institute & State University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2004.00683.x
• 发表日期: 2004
• 页码: 1901-1929
• 关键词: DEMAND CURVES; INVESTOR RECOGNITION; MARKET-SEGMENTATION; asset prices; stocks; equilibrium; volume; game

摘要

We study the price effects of changes to the S&P 500 index and document an asymmetric price response: There is a permanent increase in the price of added firms but no permanent decline for deleted firms. These results are at odds with extant explanations of the effects of index changes that imply a symmetric price response to additions and deletions. A possible explanation for asymmetric price effects arises from the changes in investor awareness. Results from our empirical tests support the thesis that changes in investor awareness contribute to the asymmetric price effects of S&P 500 index additions and deletions.