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Showing 1 to 3 of 3 for “"index additions"”.
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Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions
When a stock is added into the S&P 500 Index, it is automatically "cross-listed" in the index derivative markets (i.e., S&P 500 Index futures and Index options). I examined the effects of such cross-listing on the trading volume and return volatility of the underlying component stocks. Traditional …
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Essays on Investor Attention
… investor attention on a recent sample of S&P 500 index additions in the context of anticipatory trading effects. It finds that risk arbitrageurs anticipate the outcome of the index review and purchase stocks that have a high likelihood of becoming new index members, exploiting the mean price …
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Three Essays on Corporate Finance
… analysis exploiting S&P 500 index additions as exogenous shocks to common ownership provides evidence of a causal negative effect. The relationship is stronger when common owners are dedicated institutional investors and when executives have specialized skills and greater …