The Disappearing Index Effect

IF 7.6 1区 经济学 Q1 BUSINESS, FINANCE Journal of Finance Pub Date : 2024-12-20 DOI:10.1111/jofi.13410
ROBIN GREENWOOD, MARCO SAMMON
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Abstract

The abnormal return associated with a stock being added to the S&P 500 has fallen from an average of 7.4% in the 1990s to less than 1% over the past decade. This has occurred despite a significant increase in the share of stock market assets linked to the index. A similar pattern has occurred for index deletions, with large negative abnormal returns during the 1990s but an average return of only 0.1% between 2010 and 2020. We investigate the drivers of this phenomenon and discuss implications for market efficiency. We document a similar decline in the index effect among other families of indices.
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消失的指数效应
与股票加入 S&P 500 指数相关的非正常回报率已从 20 世纪 90 年代的平均 7.4% 下降到过去十年的不到 1%。尽管与该指数挂钩的股市资产份额大幅增加,但仍出现了这种情况。指数删除也出现了类似的情况,在 20 世纪 90 年代出现了巨大的负异常回报,但在 2010 年至 2020 年期间,平均回报率仅为 0.1%。我们研究了这一现象的驱动因素,并讨论了对市场效率的影响。我们记录了其他指数系列中指数效应的类似下降。
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来源期刊
Journal of Finance
Journal of Finance Multiple-
CiteScore
12.90
自引率
2.50%
发文量
88
期刊介绍: The Journal of Finance is a renowned publication that disseminates cutting-edge research across all major fields of financial inquiry. Widely regarded as the most cited academic journal in finance, each issue reaches over 8,000 academics, finance professionals, libraries, government entities, and financial institutions worldwide. Published bi-monthly, the journal serves as the official publication of The American Finance Association, the premier academic organization dedicated to advancing knowledge and understanding in financial economics. Join us in exploring the forefront of financial research and scholarship.
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