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- W1648613478 abstract "This study examines the effect of changes in the KOSPI 200 index to determine the main cause of abnormal return behavior. It tests five prevailing hypotheses individually and simultaneously using both added and deleted stocks during the event window. We find evidence of permanent price effects and no return reversal and of temporary price pressure around the effective date. The results show that the return behavior of added and deleted stocks cannot be explained by a single hypothesis, but the changes in operating performance best explain these effects. The indexing methodology conveys the valuable information that the added stocks showed good performance and better earnings relative to both the market and the same industry average and the deleted stocks showed vice versa. In conclusion, member changes in the KOSPI 200 index are not information-free events." @default.
- W1648613478 created "2016-06-24" @default.
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- W1648613478 date "2010-01-01" @default.
- W1648613478 modified "2023-09-25" @default.
- W1648613478 title "The Information Content of Changes in Index Composition" @default.
- W1648613478 doi "https://doi.org/10.2139/ssrn.1626030" @default.
- W1648613478 hasPublicationYear "2010" @default.
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