| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19290 |
| 来源ID | Working Paper 19290 |
| Regression Discontinuity and the Price Effects of Stock Market Indexing | |
| Yen-cheng Chang; Harrison Hong; Inessa Liskovich | |
| 发表日期 | 2013-08-09 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | Studies find price increases for additions to the S&P 500 index but no decreases for deletions. Additions come with good earnings news, suggesting these studies are not just measuring an indexing effect. We develop a regression discontinuity design using Russell Indices for cleaner identification. Stocks are assigned to indices based on their end-of-May market capitalizations. Stocks ranked just below 1000 are in the Russell 2000. The indices are value-weighted so these stocks receive index buying whereas those just above 1000 have close to none. Using this random assignment, we find price effects for both additions and deletions. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w19290 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576965 |
| 推荐引用方式 GB/T 7714 | Yen-cheng Chang,Harrison Hong,Inessa Liskovich. Regression Discontinuity and the Price Effects of Stock Market Indexing. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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