Extended Stock Returns in Response to S&P 500 Index Changes

Nimesh Patel and Ivo Welch

The Review of Asset Pricing Studies, 2017, vol. 7, issue 2, 172-208

Abstract: Our paper investigates extended abnormal returns for S&P 500 index changes in a comprehensive 1979-2015 sample. The literature’s depiction of longer window returns lacked both appropriate nuance and cross-sectional analysis. Solid evidence for reversion appears in the 2000s. Stocks no longer experience permanent shifts in investor demand when they are either added to or removed from the S&P 500.Received April 19, 2016; editorial decision January 23, 2017 by Editor Jeffrey Pontiff

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:oup:rasset:v:7:y:2017:i:2:p:172-208.

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