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

46 Pages Posted: 2 Aug 2015 Last revised: 4 Oct 2016

See all articles by Nimesh Patel

Nimesh Patel

University of Hawai'i at Manoa, Shidler College of Business

Ivo Welch

University of California, Los Angeles (UCLA); National Bureau of Economic Research (NBER)

Date Written: October 3, 2016

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. It suggests that stocks no longer experience permanent shifts in investor demand when they are added to or removed from the S&P 500.

Keywords: S&P 500

JEL Classification: G14

Suggested Citation

Patel, Nimesh and Welch, Ivo, Extended Stock Returns in Response to S&P 500 Index Changes (October 3, 2016). Available at SSRN: https://ssrn.com/abstract=2638660 or http://dx.doi.org/10.2139/ssrn.2638660

Nimesh Patel

University of Hawai'i at Manoa, Shidler College of Business ( email )

Honolulu, HI 96815
United States

Ivo Welch (Contact Author)

University of California, Los Angeles (UCLA) ( email )

110 Westwood Plaza
C519
Los Angeles, CA 90095-1481
United States
310-825-2508 (Phone)

HOME PAGE: http://www.ivo-welch.info

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
259
Abstract Views
1,105
rank
117,818
PlumX Metrics