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- W2783307810 abstract "Practical Applications Summary Research has indicated that stocks newly added to the S&P 500 Index can exhibit upward price drifts that can be exploited by short-term traders, a practice known as “the S&P game.” In Adaptation of the S&P 500 Index Effect , published in the Summer 2017 issue of The Journal of Index Investing , Chan Wung Kim, Xiao Li , and Timothy T. Perry seek to determine the extent to which the S&P game still persists, and they investigate whether it has diminished over time. Their results demonstrate no evidence of a positive price drift between the announcement day and the effective day for stocks added to the S&P 500. They also found little evidence of a meaningful positive return associated with index inclusion. In fact, they found short-term negative results, on average, which reversed the next day, suggesting that the value of being added to the S&P 500 Index is less than it used to be." @default.
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- W2783307810 date "2018-01-10" @default.
- W2783307810 modified "2023-09-25" @default.
- W2783307810 title "Practical Applications of Adaptation of the S&P 500 Index Effect" @default.
- W2783307810 doi "https://doi.org/10.3905/pa.5.4.259" @default.
- W2783307810 hasPublicationYear "2018" @default.
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