Document Type

Journal Article

Department/Unit

Department of Finance and 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

DOI

10.1016/j.jbankfin.2013.08.027

ISSN (print)

03784266

ISSN (electronic)

18726372

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