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

Critical Finance Review, Forthcoming

65 Pages Posted: 10 Aug 2015 Last revised: 26 Oct 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: October 9, 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 (e.g., those that employ a sharp regression discontinuity estimation); others do not (e.g., those that either use a fuzzy regression discontinuity or an instrumental variable estimation). 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 (October 9, 2020). Critical Finance Review, Forthcoming, 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
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Todd A. Gormley (Contact Author)

Washington University in St. Louis ( email )

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

European Corporate Governance Institute (ECGI) ( email )

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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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