Is There an S&P 500 Index Effect?

Kasch, Maria ; Sarkar, Asani

Document Type: Conference presentation
Year of publication: 2013
Conference title: FIRS Conference
Location of the conference venue: Dubrovnik, Croatia
Date of the conference: May 30 - June 2, 2013
Publication language: English
Institution: Business School > ABWL u. Finanzierung (Theissen)
Subject: 000 Generalities
330 Economics
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.

Dieser Datensatz wurde nicht während einer Tätigkeit an der Universität Mannheim veröffentlicht, dies ist eine Externe Publikation.

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