An Improved Method to Predict Assignment of Stocks into Russell Indexes

Francesco Franzoni, Rabih Moussawi and Itzhak Ben-David

No 14234, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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)
Date: 2019-12
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Citations: View citations in EconPapers (5)

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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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