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

26 Pages Posted: 10 Aug 2015 Last revised: 21 Oct 2018

See all articles by Ian Appel

Ian Appel

Boston College - Carroll School of Management

Todd A. Gormley

Washington University in St. Louis

Donald B. Keim

University of Pennsylvania - Wharton School

Date Written: October 17, 2018

Abstract

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

Suggested Citation

Appel, Ian and Gormley, Todd A. and Keim, Donald B., Identification Using Russell 1000/2000 Index Assignments: A Discussion of Methodologies (October 17, 2018). 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

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)

Register to save articles to
your library

Register

Paper statistics

Downloads
655
rank
36,585
Abstract Views
1,969
PlumX Metrics