Is There an S&P 500 Index Effect?

Kasch, Maria ; Sarkar, Asani

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Document Type: Working paper
Year of publication: 2014
The title of a journal, publication series: SSRN Working Paper Series
Place of publication: Rochester, NY
Edition: Version March 2014
Publication language: English
Institution: Business School > ABWL u. Finanzierung (Theissen 2009-)
Subject: 000 Generalities
Abstract: We find that the firms included in the S&P 500 index are characterized by large increases in earnings, appreciation in market value and positive price momentum in the period preceding their index inclusion. This strong pre-inclusion performance predicts (1) the permanent increase of market value and (2) the change in return comovement, reflected in declines of size, value and momentum betas, following index inclusion. Non-event firms with similar performance experience similar appreciation in value and changes in comovement coincident with the event firms. Contrary to the consensus in the literature, our results indicate that – after accounting for the firms’ extraordinary pre-inclusion performance – index inclusion has no permanent effect on value and comovement.
Additional information: Online-Ressource

Dieser Eintrag ist Teil der Universitätsbibliographie.

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