Identification Using Russell 1000/2000 Index Assignments: A Discussion of Methodologies
28 Pages Posted: 10 Aug 2015
Date Written: May 20, 2019
This paper discusses tradeoffs of various empirical methods that rely on Russell 1000/2000 index assignments prior to 2007 for identification and explains why the different approaches reach conflicting conclusions about the effect of index assignment on firm’s ownership structure and corporate policies. The paper also discusses changes in Russell’s methodology beginning in 2007 and empirical methods that can be used to continue using the setting as a source of identification for more recent years.
Keywords: instrumental estimation, regression discontinuity, Russell indexes
JEL Classification: D22, G23, G30, G34, G35
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