References

• 1993Common risk factors in the returns on stocks and bonds26,615 cited
• 1985Using daily stock returns6,497 cited
• 1986Asset pricing and the bid-ask spread5,087 cited
• 1986Do Demand Curves for Stocks Slope Down?1,524 cited
• 1986Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures1,023 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
• 2000Demand Curves for Stocks Do Slope Down: New Evidence from an Index Weights Adjustment377 cited
• 2003S&P 500 Index Additions and Earnings Expectations371 cited
• 1991Changes in the Standard and Poor's 500 List354 cited
• 1996An Anatomy of the "S & P Game": The Effects of Changing the Rules334 cited
• 1987The Effect on Stock Price of Inclusion in or Exclusion from the S&P 500292 cited
• 2003The liquidity effects of revisions to the S&P 500 index: an empirical analysis259 cited
• 1996Measuring abnormal daily trading volume for samples of NYSE/ASE and NASDAQ securities using parametric and nonparametric test statistics166 cited
• 1989