An anatomy of the ''S&P game'': The effects of changing the rules

• 成果类型: Article
• 署名作者: Beneish, MD; Whaley, RE
• 署名单位: Duke University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329543
• 发表日期: 1996
• 页码: 1909-1930
• 关键词: LIST; S-AND-P-500

摘要

This study analyzes the effects of changes in S&P 500 index composition from January 1986 through June 1994, a period during which Standard and Poor's began its practice of preannouncing changes five days beforehand. The new announcement practice has given rise to the ''S&P game'' and has altered the way stock prices react. We find that prices increase abnormally from the close on the announcement day to the close on the effective day. The overall increase is greater than under the old announcement policy although part of the increase reverses after the stock is included in the index.