An Improved Method to Predict Assignment of Stocks into Russell Indexes

Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi
Additional contact information
Francesco A. Franzoni: USI Lugano; Swiss Finance Institute; Centre for Economic Policy Research (CEPR)
Rabih Moussawi: Villanova University - Department of Finance; University of Pennsylvania - The Wharton School

No 19-56, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: 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 (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2019-10
New Economics Papers: this item is included in nep-fmk and nep-ore
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Citations: View citations in EconPapers (5)

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Related works:
Working Paper: An Improved Method to Predict Assignment of Stocks into Russell Indexes (2019)
Working Paper: An Improved Method to Predict Assignment of Stocks into Russell Indexes (2019)
Working Paper: An Improved Method to Predict Assignment of Stocks into Russell Indexes (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1956

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