The diminished effect of index rebalances
Konstantina Kappou ()
Additional contact information
Konstantina Kappou: University of Reading
Journal of Asset Management, 2018, vol. 19, issue 4, 235-244
Abstract The author revisits the strategy of trading S&P 500 index re-compositions under the pre- and post-crisis financial environments, proving that the return structure has significantly changed. The results show for the first time that there are currently no tradable abnormal returns between announcement and event dates in the post-crisis sample period, indicating smoother rebalancing mechanisms by bank’s client facing desks and better services for passive end-investors. The newly added firms inflate the S&P 500 index by less than ten basis points per year. The results could be attributed to improved execution algorithms used by the banks and potentially to the new regulatory reforms in the sector, which prevents financial institutions from taking large trading positions with their balance sheets.
Keywords: Index rebalancing; Passive investment; S&P 500; Additions; Index funds (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://link.springer.com/10.1057/s41260-018-0077-8 Abstract (text/html)
Access to the full text of the articles in this series is restricted.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:19:y:2018:i:4:d:10.1057_s41260-018-0077-8
Ordering information: This journal article can be ordered from
Access Statistics for this article
Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo
More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla ().