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• W3125201666 abstract "ABSTRACTKamal, Lawrence, McCabe, and Prakash (2012) argue that information asymmetry exists in the financial markets and additions to SP G14KEYWORDS: S&P 500 Deletions, Information Asymmetry, Liquidity ChangesINTRODUCTIONResearch on additions to and deletions from the Standard and Poor's (S&P) 500 Index has recorded significant abnormal returns (Shleifer, 1986, Beneish and Whaley, 1996, 2002, Lynch and Mendenhall, 1997, Dash, 2002, and Chen, Noronha and Singal 2004, 2006a, b) and changes in liquidity (Beneish and Whaley, 1996, Erwin and Miller, 1998, and Hegde and McDermott, 2003) around these events. Several theories have been put forward to explain the price effects around index changes. The downward-sloping demand curve hypothesis (Shleifer, 1986) argues that index funds, which buy stocks added to the S&P 500 to replicate the market, drive price movements associated with S&P 500 inclusion announcements. However, the information hypothesis (Jain, 1987, Dhillon and Johnson, 1991, Denis, McConnell, Ovtchinnikov and Yu, 2003) states that inclusion in the index conveys positive information about the stock and thus, drives up the price. Cai (2007) argues that addition to the S&P 500 Index conveys favorable information about the stock and the industry and hence, can be considered a partial explanation for the positive price effect of additions to the S&P 500.Recently, Kamal, Lawrence, McCabe and Prakash (2012) argue that additions to the S&P 500 provide information about the performance and future prospects of a firm and hence, reduce the informational asymmetry amongst investors, resulting in a significant positive abnormal return and an increase in stock liquidity on the announcement of firm's addition to S&P 500 (pg. 381). Kamal et al. (2012) further argue that the information environment has changed after the year 2000 due to important regulations and changes in the financial markets. They categorize the additions to the S&P 500 Index into two subperiods, namely, pre- and post-2000 periods and show that for additions to the S&P 500, abnormal returns have reduced in the post-2000 period, whereas, liquidity of the added firms' stock has become marginal. In light of their arguments, it would be worthwhile to test whether deletions from S&P 500 also experience similar changes in abnormal returns and liquidity around the announcement and effective days in pre- and post-2000 periods. Even though there is a plethora of literature around S&P 500 Index changes, Chen, Noronha and Singal (2004) rightly observe that most of the researchers have focused on additions. Hegde and McDermott (2003) argue that deletions have unique characteristics that make them noisier events than additions to study (pg. 452). Even though the two aforementioned studies have attempted to address deletions, as such, it is fair to say that there is still a void in the literature regarding the study of deletions from the S&P 500. …" @default.
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• W3125201666 title "New Evidence from S&p 500 Index Deletions" @default.
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