Extended Stock Returns in Response to S&P 500 Index Changes
46 Pages Posted: 2 Aug 2015 Last revised: 4 Oct 2016
Date Written: October 3, 2016
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: Suggested Citation