| 来源类型 | Discussion paper
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| 规范类型 | 论文
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| 来源ID | DP7040
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| DP7040 Are Boys and Girls Affected Differently When the Household Head Leaves for Good? Evidence from School and Work Choices in Colombia |
| Alice Mesnard; Emla Fitzsimons
|
| 发表日期 | 2008-11-17
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| 出版年 | 2008
|
| 语种 | 英语
|
| 摘要 | We investigate company additions to stock market indices over a six-year period in 39 developed and emerging markets around the world. For most markets, we find a post-inclusion increase in beta and an increase in the explanatory power of market returns (R2), reflecting increased comovement after inclusion between the added stock and rest of the index. In addition, for most markets there is a post-inclusion increase in stock turnover. These inclusion effects increase over time, tend to be stronger when the index is dispersed (i.e., includes many stocks), and in ?common law? countries. These patterns appear to be inconsistent with the view that stock returns are generated by fundamentals only and are consistent with the category/habitat view of Barberis, Shleifer and Wurgler (2005). In line with this interpretation, we present evidence that the post-inclusion increase in comovement is positively correlated with the presence of index-oriented institutional investors in the market. We also present tentative evidence suggesting that, in less developed markets, the post-inclusion increase in comovement is related to information problems. |
| 主题 | Financial Economics
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| 关键词 | Beta
Comovement
Index inclusion
|
| URL | https://cepr.org/publications/dp7040
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| 来源智库 | Centre for Economic Policy Research (United Kingdom)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535877
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推荐引用方式
GB/T 7714 |
Alice Mesnard,Emla Fitzsimons. DP7040 Are Boys and Girls Affected Differently When the Household Head Leaves for Good? Evidence from School and Work Choices in Colombia. 2008.
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