The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation

Honghui Chen, Gregory Noronha and Vijay Singal

Journal of Finance, 2004, vol. 59, issue 4, pages 1901-1930

Abstract: We study the price effects of changes to the S&P 500 index and document an asymmetric price response: There is a permanent increase in the price of added firms but no permanent decline for deleted firms. These results are at odds with extant explanations of the effects of index changes that imply a symmetric price response to additions and deletions. A possible explanation for asymmetric price effects arises from the changes in investor awareness. Results from our empirical tests support the thesis that changes in investor awareness contribute to the asymmetric price effects of S&P 500 index additions and deletions. Copyright 2004 by The American Finance Association.

Date: 2004
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.blackwell-synergy.com/servlet/useragent ... &year=2004&part=null link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:bla:jfinan:v:59:y:2004:i:4:p:1901-1930

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association
Contact information at EDIRC.
Series data maintained by Wiley-Blackwell Digital Licensing ().