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Regression Discontinuity and the Price Effects of Stock Market Indexing · Study

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PreprintRegression Discontinuity and the Price Effects of Stock Market Indexing

Yen‐Cheng Chang2013

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Preprintgreen2013

Regression Discontinuity and the Price Effects of Stock Market Indexing

Yen‐Cheng Chang · Harrison G. Hong · Inessa Liskovich

76 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Analysis and Corporate Governance

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References

1987A Simple Model of Capital Market Equilibrium with Incomplete Information 1998Investor Psychology and Security Market Under‐ and Overreactions 2007All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors 2000Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses 2001Learning to Be Overconfident 1993Trading Volume and Serial Correlation in Stock Returns 2009Driven to Distraction: Extraneous Events and Underreaction to Earnings News 1988Liquidity and Market Structure

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2014Regression Discontinuity and the Price Effects of Stock Market Indexingarticle · 18 shared references 2021The benchmark inclusion subsidyarticle · 12 shared references 2009Why Do Demand Curves for Stocks Slope Down?article · 11 shared references 2007Comovement After Joining an Index: Spillovers of Nonfundamental Effectsarticle · 10 shared references 2014Rating-Based Investment Practices and Bond Market Segmentationarticle · 10 shared references 2018The Shift From Active to Passive Investing: Potential Risks to Financial Stability?article · 10 shared references

Details

Year2013

Typepreprint

Published2013-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations76

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.2288184

openalex_workW2109929260

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2016

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