Demand curves for stocks do slope down: New evidence from an index weights adjustment

• 成果类型: Article
• 署名作者: Kaul, A; Mehrotra, V; Morck, R
• 署名单位: University of Alberta
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00230
• 发表日期: 2000
• 页码: 893-912
• 关键词: price; list

摘要

Weights in the Toronto Stock Exchange 300 index are determined by the market values of the included stocks' public floats. In November 1996, the exchange implemented a previously announced revision of its definition of the public float. This revision, which increased the floats and the index weights of 31 stocks, conveyed no information and had no effect on the legal duties of shareholders. Affected stocks experienced statistically significant excess returns of 2.3 percent during the event week, and no price reversal occurred as trading volume returned to normal levels. These findings support downward sloping demand curves for stocks.