Asymmetric Changes in Stock Prices and Investor Recognition Around Revisions to the S&P 500 Index
Posted: 23 Jan 2011
Date Written: January 21, 2011
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
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