Identification Using Russell 1000/2000 Index Assignments: A Discussion of Methodologies
64 Pages Posted: 10 Aug 2015 Last revised: 31 Aug 2020
Date Written: August 28, 2020
This paper discusses empirical methods that rely on Russell 1000/2000 index assignments for identification. Using simulated data, the paper illustrates why the varying approaches reach conflicting conclusions about the effect of index assignment on a firm’s ownership structure and corporate policies. Some estimators likely suffer from bias; others do not. The paper also discusses changes in Russell’s index assignment methodology that began in 2007 and why these changes require modifications to the existing methodologies.
Keywords: instrumental estimation, regression discontinuity, Russell indexes
JEL Classification: D22, G23, G30, G34, G35
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