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Do Index Effects Reflect Idiosyncratic or Industry Effects? A Re-Examination of the Winners and Losers of S&P 500 Index Addition 指数效应反映的是特质效应还是行业效应?标准普尔500指数成分股的赢家和输家重新审视
Pub Date : 2007-05-01 DOI: 10.2139/ssrn.1009290
Isaac Otchere, André F. Gygax
This paper provides new findings concerning additions to the S&P 500 Index. We present the first evidence of industry effects that occur when stocks are added to the S&P 500 Index. With over a trillion dollars in index funds wealth tied to the S&P 500 Index, index additions exert price pressures on not only the firms that are added to the index and but the incumbent industry counterparts as well. We find that the share price of an added firm's industry counterparts increase in the announcement date and decrease on the effective date. We provide evidence that portfolio rebalancing helps explain the effective date abnormal returns documented for the incumbent industry counterparts. In addition, we show that the likelihood of a company being added to the S&P 500 Index is higher in industries with strong innovative activity, making revisions to the Index a vehicle for incorporating the value of such activity. Overall, our results suggest that S&P 500 Index composition changes are not information-free events.
本文提供了有关标准普尔500指数增加的新发现。我们提出了行业效应发生的第一个证据,当股票被添加到标准普尔500指数。随着超过一万亿美元的指数基金财富与标准普尔500指数挂钩,指数的增加不仅对被纳入指数的公司施加了价格压力,而且对现有的行业同行也施加了压力。我们发现,新增企业的同业股价在公告日上升,在生效日下降。我们提供的证据表明,投资组合再平衡有助于解释现有行业同行记录的生效日期异常回报。此外,我们表明,在创新活动强劲的行业中,公司被纳入标准普尔500指数的可能性更高,这使得对指数的修订成为纳入此类活动价值的工具。总的来说,我们的研究结果表明,标准普尔500指数的构成变化不是没有信息的事件。
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Global Financial Services 1
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