Identification Using Russell 1000/2000 Index Assignments: A Discussion of Methodologies

64 Pages Posted: 10 Aug 2015 Last revised: 31 Aug 2020

See all articles by Ian Appel

Ian Appel

Boston College - Carroll School of Management

Todd A. Gormley

Washington University in St. Louis; European Corporate Governance Institute (ECGI)

Donald B. Keim

University of Pennsylvania - Wharton School

Date Written: August 28, 2020

Abstract

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

Suggested Citation

Appel, Ian and Gormley, Todd A. and Keim, Donald B., Identification Using Russell 1000/2000 Index Assignments: A Discussion of Methodologies (August 28, 2020). Available at SSRN: https://ssrn.com/abstract=2641548 or http://dx.doi.org/10.2139/ssrn.2641548

Ian Appel

Boston College - Carroll School of Management ( email )

Carroll School of Management
140 Commonwealth Avenue
Chestnut Hill, MA 02467-3808
United States

Todd A. Gormley (Contact Author)

Washington University in St. Louis ( email )

One Brookings Drive
Campus Box 1133
St. Louis, MO 63130-4899
United States
(314) 935-7171 (Phone)

HOME PAGE: http://www.gormley.info

European Corporate Governance Institute (ECGI) ( email )

c/o the Royal Academies of Belgium
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1000 Brussels
Belgium

Donald B. Keim

University of Pennsylvania - Wharton School ( email )

The Wharton School
3620 Locust Walk
Philadelphia, PA 19104
United States
215-898-7685 (Phone)
215-898-6200 (Fax)

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