http://dx.doi.org/10.1016/j.jbankfin.2013.08.027">
 

Document Type

Journal Article

Department/Unit

Department of Finance & Decision Sciences

Title

A comprehensive long-term analysis of S&P 500 index additions and deletions

Language

English

Abstract

We investigate the long-term effects of S&P 500 index additions and deletions on a sample of stocks from 1962 to 2003 and find a significant long-term price increase for both added and deleted stocks, with deleted stocks outperforming added stocks. The long-term price increase for added stocks can be attributed to increases in institutional ownership, liquidity, and analyst coverage, and a decrease in the shadow cost in the long-term. However, while deletion has no significant effect on analyst coverage and shadow cost, we find a rebound in the institutional ownership and liquidity of deleted stocks. The difference in the long-term price increase of added and deleted stocks can be explained by analyst coverage and operating performance. © 2013.

Keywords

Information quality, Liquidity, Long-run performance, Operating performance, S&P 500 index revision

Publication Date

2013

Source Publication Title

Journal of Banking and Finance

Volume

37

Issue

12

Start Page

4920

End Page

4930

Publisher

Elsevier

ISSN (print)

03784266

ISSN (electronic)

18726372

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