| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14234 |
| DP14234 An Improved Method to Predict Assignment of Stocks into Russell Indexes | |
| Francesco Franzoni; Rabih Moussawi; Itzhak Ben-David | |
| 发表日期 | 2019-12-22 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | A growing literature uses the Russell 1000/2000 reconstitution event as an identification strategy to investigate corporate finance and asset pricing questions. To implement this identification strategy, researchers need to approximate the ranking variable used to assign stocks to indexes. We develop a procedure that predicts assignment to the Russell 1000/2000 with significant improvements relative to previous approaches. We apply this methodology to extend the tests in Ben-David, Franzoni, and Moussawi (2018). |
| 主题 | Financial Economics |
| 关键词 | Russell Institutional investors Etfs Volatility |
| URL | https://cepr.org/publications/dp14234 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543120 |
| 推荐引用方式 GB/T 7714 | Francesco Franzoni,Rabih Moussawi,Itzhak Ben-David. DP14234 An Improved Method to Predict Assignment of Stocks into Russell Indexes. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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