Articlegreen2017

Extended Stock Returns in Response to S&P 500 Index Changes

38 citations0/0 files storedThe Review of Asset Pricing Studies

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

Abstract

Our paper investigates extended abnormal returns for S&P 500 index changes in a comprehensive 1979-2015 sample. The literature’s depiction of longer window returns lacked both appropriate nuance and cross-sectional analysis. Solid evidence for reversion appears in the 2000s. Stocks no longer experience permanent shifts in investor demand when they are either added to or removed from the S&P 500. Received April 19, 2016; editorial decision January 23, 2017 by Editor Jeffrey Pontiff

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References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1973Risk, Return, and Equilibrium: Empirical Tests 1969The Adjustment of Stock Prices to New Information 1991The Long‐Run Performance of initial Public Offerings 2003The Adjustment of Stock Prices to New Information 1997Detecting long-run abnormal stock returns: The empirical power and specification of test statistics 1999Improved Methods for Tests of Long‐Run Abnormal Stock Returns

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