Additions to and deletions from the S&P 500 index: A resolution to the asymmetric price response puzzle

Rajnish Kumar, Edward R. Lawrence, Arun Prakash and Iván M. Rodríguez

Journal of Banking & Finance, 2023, vol. 154, issue C

Abstract: We resolve the asymmetric price response puzzle for additions to and deletions from the S&P 500 documented in Chen, Noronha, and Singal (2004) by using a more appropriate methodology to measure abnormal returns and correctly adjusting for outliers. In contrast to their findings, our results show a permanent price response for both additions and deletions. We further distinguish between firms transferred into other S&P indices and true additions/deletions (firms not added from or placed into other S&P indices). We find a permanent price increase for true additions and a permanent decline in price for true deletions from the S&P 500.

Keywords: Index deletions; Index additions; Transfers between indices; S&P 500 index; Asymmetric price response (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378426623001747
Full text for ScienceDirect subscribers only

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: https://EconPapers.repec.org/RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001747

DOI: 10.1016/j.jbankfin.2023.106976

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().