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EXCESS RETURNS OF INDEX REPLACEMENT STOCKS: EVIDENCE OF LIQUIDITY AND SUBSTITUTABILITY

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References

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Cited by

1996Trading cost expectations: Evidence from S&P 500 index replacement stock announcements48 cited
2017Effects of changes in stock index compositions: A literature survey44 cited
2014Is There a Gold Social Seal? The Financial Effects of Additions to and Deletions from Social Stock Indices43 cited
2012Cost of Equity and S&P 500 Index Revisions40 cited
2006

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Stock Price and Volume Effects Associated with Compositional Changes in European Stock Indices

38 cited

2002Additions to and Deletions from an Open-Ended Market Index: Evidence from the Australian All Ordinaries30 cited

2010Does Inclusion in a Smaller S&P Index Create Value?28 cited