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A comprehensive long-term analysis of S&P 500 index additions and deletions
16 references·5 citing·48 second hop
A comprehensive long-term analysis of S&P 500 index additions and deletions (2013)A comprehensive long-term analysis of S&P…Event Study Testing with Cross-sectional Correlation of Abnormal Returns (2010)Event Study Testing with Cros…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation (2004)The Price Response to S&P 500…The liquidity effects of revisions to the S&P 500 index: an empirical analysis (2003)The liquidity effects of revi…S&P 500 Index Additions and Earnings Expectations (2003)S&P 500 Index Additions and E…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Does Arbitrage Flatten Demand Curves for Stocks? (2002)Does Arbitrage Flatten Demand…An Investigation of the Informational Role of Short Interest in the Nasdaq Market (2002)An Investigation of the Infor…The Operating Performance of Firms Conducting Seasoned Equity Offerings (1997)The Operating Performance of …The Delisting Bias in CRSP Data (1997)The Delisting Bias in CRSP Da…The Delisting Bias in CRSP Data (1997)The Delisting Bias in CRSP Da…New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index (1997)New Evidence on Stock Price E…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures (1986)Price and Volume Effects Asso…Do Demand Curves for Stocks Slope Down? (1986)Do Demand Curves for Stocks S…The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices (1972)The Market for Securities: Su…Capital market internationalization and firms' ESG performance: Evidence from the inclusion of China A-shares in the MSCI Emerging Market Index (2024)Capital market internationali…Price effect and investor awareness: Evidence from MSCI Standard Index reconstitutions (2019)Price effect and investor awa…Effects of changes in stock index compositions: A literature survey (2017)Effects of changes in stock i…How Sustainability Is Reflected in the S&P 500 Companies’ Strategic Documents (2016)How Sustainability Is Reflect…Cost of Equity and S&P 500 Index Revisions (2012)Cost of Equity and S&P 500 In…Does the Stock Market Overreact? (1985)The Long‐Run Performance of initial Public Offerings (1991)The Cross-Section of Expected Stock Returns (1992)Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing (2001)What Drives Firm‐Level Stock Returns? (2002)Replicating Anomalies (2018)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)Common risk factors in the returns on stocks and bonds (1993)How the Market Values Greenwashing? Evidence from China (2014)Protection of Trade Secrets and Capital Structure Decisions (2014)Carbon Risk and Corporate Capital Structure (2018)The Adjustment of Stock Prices to New Information (1969)Principles of Corporate Finance. (1981)Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift? (1995)The Adjustment of Stock Prices to New Information (2003)Comovement (2004)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The market for corporate control (1983)Noise (1986)The determinants of cross-border equity flows (2004)An Engine, Not a Camera (2006)The cost of capital, corporation finance and the theory of investment (2008)The Capital Structure Puzzle (1984)The Capital Structure Puzzle (1984)The Modern Industrial Revolution, Exit, and the Failure of Internal Control Systems (1993)Detecting abnormal operating performance: The empirical power and specification of test statistics (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)Inefficient Markets (2000)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Noise Trader Risk in Financial Markets (1990)Industry costs of equity (1997)Demand-Based Option Pricing (2005)Do Retail Trades Move Markets? (2008)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)The Event Study Methodology Since 1969 (1998)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)
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References

  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1986Do Demand Curves for Stocks Slope Down?1,524 cited
  • 1997The Operating Performance of Firms Conducting Seasoned Equity Offerings1,098 cited
  • 1997The Delisting Bias in CRSP Data1,057 cited
  • 1986Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures1,023 cited
  • 1972The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices886 cited
  • 2002Does Arbitrage Flatten Demand Curves for Stocks?861 cited
  • 2010Event Study Testing with Cross-sectional Correlation of Abnormal Returns648 cited
  • 2002An Investigation of the Informational Role of Short Interest in the Nasdaq Market633 cited
  • 1997The Delisting Bias in CRSP Data619 cited
  • 2004The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation600 cited
  • 1997New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index493 cited

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2003
S&P 500 Index Additions and Earnings Expectations
371 cited
  • 2003The liquidity effects of revisions to the S&P 500 index: an empirical analysis259 cited
  • Cited by

    • 2024Capital market internationalization and firms' ESG performance: Evidence from the inclusion of China A-shares in the MSCI Emerging Market Index50 cited
    • 2016How Sustainability Is Reflected in the S&P 500 Companies’ Strategic Documents49 cited
    • 2017Effects of changes in stock index compositions: A literature survey44 cited
    • 2012Cost of Equity and S&P 500 Index Revisions40 cited
    • 2019Price effect and investor awareness: Evidence from MSCI Standard Index reconstitutions31 cited