An Improved Method to Predict Assignment of Stocks into Russell Indexes
Charles A. Dice Center Working Paper No. 2019-24
41 Pages Posted: 10 Oct 2019 Last revised: 14 Nov 2019
Date Written: October 7, 2019
A growing literature uses the Russell 1000/2000 reconstitution event as an identification strategy to investigate corporate finance and asset pricing questions. To implement this identification strategy, researchers need to approximate the ranking variable used to assign stocks to indexes. We develop a procedure that predicts assignment to the Russell 1000/2000 with significant improvements relative to previous approaches. We apply this methodology to extend the tests in Ben-David, Franzoni, and Moussawi (2018).
Keywords: Russell, institutional investors, ETFs, volatility
JEL Classification: G12, G14, G15
Suggested Citation: Suggested Citation