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• W4308113477 abstract "This paper employs forward-looking information from the options market to shed light on the comovement implications of S&P 500 index inclusion events over the 1997–2020 period. To this end, we test if forward-looking implied betas impound significant pre-inclusion information that is not embedded in historical betas. The empirical results show that the increase in post-inclusion implied betas is significantly smaller than the corresponding increase in historical or hybrid betas. In most cases, changes in implied betas show no evidence of excess comovement after S&P 500 index inclusion. Our findings suggest that added stocks experience changes prior to the index addition announcement and this leads to the ‘index inclusion effect’ reported to the literature." @default.
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• W4308113477 date "2022-11-02" @default.
• W4308113477 modified "2023-09-25" @default.
• W4308113477 title "The S&P 500 index inclusion effect: Evidence from the options market" @default.
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• W4308113477 doi "https://doi.org/10.1002/ijfe.2728" @default.
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