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- W3122566745 abstract "This paper analyzes the effect on a company's stock price when it is added to the S&P 500 Index. A simple theoretical model is developed to show how trading effects and changes to fundamentals should affect the price of S&P500 additions upon announcement and in the long run. This model predicts that a company added to the S&P500 should experience an initial price increase followed by a reversal of this price increase owing to the predicted increased stock price volatility of companies post-addition. All of these effects should be growing over time because of the increasing importance of S&P500 indexed mutual funds. We test the predictions of the model using a sample of 303 S&P500 Index additions between 1978 and 1998. We find results generally consistent with the model, particularly in the most recent period when it appears that the post-addition increase in stock price volatility reverses almost all of the initial price increase." @default.
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- W3122566745 date "2003-01-01" @default.
- W3122566745 modified "2023-09-26" @default.
- W3122566745 title "The S&P 500 Effect: Not Such Good News in the Long Run" @default.
- W3122566745 doi "https://doi.org/10.2139/ssrn.347380" @default.
- W3122566745 hasPublicationYear "2003" @default.
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