Asymmetric Changes in Stock Prices and Investor Recognition Around Revisions to the S&P 500 Index

Posted: 23 Jan 2011

See all articles by Haigang Zhou

Haigang Zhou

Cleveland State University - Nance College of Business Administration

Date Written: January 21, 2011

Abstract

This study finds that first-time additions to the S&P 500 Index or its family experience permanent price increases; however, companies upgraded from lesser-known S&P indices, reentering the S&P 500, or dropped from the index experience temporary price changes. These price patterns can be explained by changes in investor recognition.

Keywords: Equity Investments, Equity Markets, Characteristics, Institutions, and Benchmarks, Security Market Indices and Benchmarks; Fundamental Analysis (Sector, Industry, Company) and the Valuation of Individual Equity, Securities: Company Analysis

Suggested Citation

Zhou, Haigang, Asymmetric Changes in Stock Prices and Investor Recognition Around Revisions to the S&P 500 Index (January 21, 2011). Financial Analysts Journal, Vol. 67, No. 1, 2011. Available at SSRN: https://ssrn.com/abstract=1745116

Haigang Zhou (Contact Author)

Cleveland State University - Nance College of Business Administration ( email )

2121 Euclid Avenue
Department of Finance, BU 215
Cleveland, OH 44115-2214
United States

Register to save articles to
your library

Register

Paper statistics

Abstract Views
458
PlumX Metrics