Download or read book Market Capitalization Changes For S P 500 Inclusions And Exclusions written by Colin Tissen and published by GRIN Verlag. This book was released on 2015-06-19 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research Paper (postgraduate) from the year 2015 in the subject Business economics - Investment and Finance, grade: 9.0/10, Maastricht University, language: English, abstract: Previous research has already proven that firms which get included in or excluded from the S&P 500 index experience stock price changes that ultimately result in market capitalization changes. The causes of these changes has extensively been examined, but a consensus on the true cause has not yet been reached. In this paper the market capitalization effect is examined by making a distinction between the reasons for inclusions and exclusions. It is argued that expected events, like bankruptcy and index-downgrading, have lower price effects than unexpected events, which include mergers and acquisitions. By usage of a regression analysis it is concluded that there is no difference in price effects between the individual reasons for inclusions and exclusions. However, when the reasons are grouped into unexpected and expected events there is a significant effect for the inclusions. Firms which expectedly enter the index experience lower market capitalizations changes than firms which unexpectedly entered the index. This effect could not be proved for exclusions.
Download or read book S P 500 Index Additions and Earnings Expectations written by Diane K. Denis and published by . This book was released on 2013 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Prior studies of stocks added to the Samp;P 500 Index report that Index inclusion is associated with a permanent increase in stock price. This result has been interpreted to mean that demand curves for stocks slope downward. A key premise underlying this interpretation is that Index inclusion provides no new information about the future prospects of the newly-included companies. We examine this premise empirically by analyzing changes in analysts' eps forecasts for newly-included companies from before to after Index inclusion and by comparing post-inclusion realized earnings to pre-inclusion earnings forecasts. We find that, relative to various benchmark companies, newly-included companies experience significant increases in eps forecasts and significant improvements in realized earnings. These results indicate that Samp;P Index inclusion is not an information-free event and, thus, undermine tests of the downward-sloping demand curve hypothesis that are based on Samp;P 500 Index additions.
Download or read book REAL EFFECTS OF S P 500 INDEX written by Yong Wei and published by Open Dissertation Press. This book was released on 2017-01-24 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "The Real Effects of S&P 500 Index Additions: Evidence From Corporate Investment" by Yong, Wei, 卫勇, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. DOI: 10.5353/th_b4490681 Subjects: Stocks - Prices - Mathematical models Corporations - Finance - Mathematical models
Download or read book Additions to the S P 500 written by Roy Murray Magruder and published by . This book was released on 1987 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Negative Returns on Addition to S P 500 Index and Positive Returns on Deletion New Evidence on Attractiveness of S P 500 Vs S P 400 Indexes written by Anand M. Vijh and published by . This book was released on 2020 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, the majority of additions to and deletions from the S&P 500 index have been stocks that were previously or subsequently included in the S&P 400 index. The announcement returns of these changes have been the opposite of what has been documented for all S&P 500 additions and deletions in an extensive literature. During 2016-2019, such 'upward additions' to the S&P 500 index resulted in an average announcement excess return of -2.31% over a three-day period while 'downward deletions' resulted in an excess return of +1.21%. We explain these new results by the increasing ownership of S&P 400 stocks by institutional investors, the majority of whom are active fund managers. Our results thus show the increasing benefits of being included in the mid-cap S&P 400 index relative to being included in the large-cap S&P 500 index.
Download or read book Standard Poor s 500 Guide written by Standard & Poor's and published by McGraw-Hill Companies. This book was released on 2004-12 with total page 1038 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides data and analysis of the companies in the world-famous S&P 500 index, one of the most watched financial indexes in the world. This title provides top investment professionals with information on earnings, dividends, and share prices; stock picks in various categories; and company addresses and numbers, along with names of top officers.
Download or read book A Comprehensive Long Term Analysis of S P 500 Index Additions and Deletions written by Kalok Chan and published by . This book was released on 2015 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the long-term effects of S&P 500 index additions and deletions on a sample of stocks from 1962 to 2003 and find a significant long-term price increase for both added and deleted stocks, with deleted stocks outperforming added stocks. The long-term price increase for added stocks can be attributed to increases in institutional ownership, liquidity, and analyst coverage, and a decrease in the shadow cost in the long-term. However, while deletion has no significant effect on analyst coverage and shadow cost, we find a rebound in the institutional ownership and liquidity of deleted stocks. The difference in the long-term price increase of added and deleted stocks can be explained by analyst coverage and operating performance.
Download or read book Control Your Cash written by Greg McFarlane and published by Greg McFarlane Betty Kincaid. This book was released on 2010-06 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: "A 14% credit card rate! What a deal!" "Where it says 'adjustable' here on my mortgage - that means 'fixed', right?" "Work until I retire, then collect Social Security. That's my wealth plan." If you've ever wondered how your money works, where it goes or how it grows, stop wondering. "Control Your Cash: Making Money Make Sense" deconstructs personal finance so that everyone but the hopelessly inept can understand it. Inside the book, you'll learn: [ how to get your bank accounts, credit cards and other financial instruments to work for you, and not the other way around [ the right way to buy a car (i.e. with the salesman cursing your name as you drive away) [ where and how to invest, and what all those symbols, charts and graphs mean [ how to turn expenses into income, and stop living paycheck-to-paycheck [ whom the tax system is stacked against (hint: it's most of us) and how to use that to your advantage [ the very key to wealth itself. In fact, the authors thought it was so important they put it on the cover so you can read it even if you're too cheap to buy the book: Buy assets, sell liabilities. Finally, a book that explains personal finance not only in layman's terms, but in detail. If you can read, and have any capacity for self-discipline, invest a few bucks in "Control Your Cash" now and reap big financial rewards for the rest of your life.
Download or read book S P 500 Index Changes and Investor Awareness written by Honghui Chen and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We find that, on average, firms added to the Samp;P 500 index experience a permanent price increase, while those deleted from it suffer only a temporary price decline. Existing theories, such as a downward sloping demand curve, liquidity, and information, fail to explain the asymmetric response. We propose a new explanation for the observed price patterns: changes in investor awareness. Investors become more aware of a stock upon its addition to the Samp;P 500 index but do not become similarly unaware of a stock following its deletion. This results in a significant price increase after an addition but not an equivalent decline after a deletion. Consistent with our hypothesis, we find that Merton's (1987) measure of awareness improves after an addition but remains essentially unchanged after a deletion. The price reaction is related to changes in the measure of awareness.From a practical standpoint, our results suggest that index fund managers who are not constrained by tracking error minimization are better off not trading on the effective date. Rather, they may be able to benefit their shareholders by executing purchases of additions upon announcement, but waiting to sell deleted firms until well after the effective date.
Download or read book The Liquidity Effects of S P 500 Additions written by John B. McDermott and published by . This book was released on 2017 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: We argue that the addition of a stock to the Samp;P 500 index leads to an increase in the volume of liquidity-motivated trading in the stock by index investors. This, in turn, lowers the cost of supplying liquidity and generates abnormal returns. Consistent with this argument, we document a permanent increase in the liquidity of stocks added to the Samp;P 500 index. Specifically, the median quoted and effective spreads decrease and the median quoted depth, trading volume and trade frequencies increase over three months following listing. The improvement in liquidity is due primarily to a decrease in the median direct cost of transacting and a smaller decline in the median asymmetric information cost of transacting. Further, we find that the event period cumulative abnormal returns are strongly associated with the decrease in the direct cost of transacting. These findings provide strong support for a liquidity-based explanation for the observed wealth effect due to Samp;P 500 listing.
Download or read book The Price Response to S P 500 Index Additions and Deletions written by Honghui Chen and published by . This book was released on 2003 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the price effects of firms added to and deleted from the Samp;P 500 index and document an asymmetric price response: there is a permanent increase in the price of added firms but no similar decline for deleted firms. These results are at odds with extant explanations of the effects of Samp;P 500 index changes which imply a symmetric price response to additions and deletions. A possible explanation for asymmetric price effects arises from changes in investor awareness. Results from our empirical tests support the thesis that changes in investor awareness contribute to the asymmetric price effects of Samp;P 500 index additions and deletions.
Download or read book Do Index Effects Reflect Idiosyncratic or Industry Effects A Re Examination of the Winners and Losers of S P 500 Index Addition written by Isaac K. Otchere and published by . This book was released on 2007 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides new findings concerning additions to the Samp;P 500 Index. We present the first evidence of industry effects that occur when stocks are added to the Samp;P 500 Index. With over a trillion dollars in index funds wealth tied to the Samp;P 500 Index, index additions exert price pressures on not only the firms that are added to the index and but the incumbent industry counterparts as well. We find that the share price of an added firm's industry counterparts increase in the announcement date and decrease on the effective date. We provide evidence that portfolio rebalancing helps explain the effective date abnormal returns documented for the incumbent industry counterparts. In addition, we show that the likelihood of a company being added to the Samp;P 500 Index is higher in industries with strong innovative activity, making revisions to the Index a vehicle for incorporating the value of such activity. Overall, our results suggest that Samp;P 500 Index composition changes are not information-free events.
Download or read book New Evidence on Stock Price Effects Associated with Changes in the S P 500 Index written by Anthony W. Lynch and published by . This book was released on 1995 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Long Term Price Effect of S P 500 Index Addition and Earnings Quality written by Petya Platikanova and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A positive price response ...
Download or read book New Evidence from S P 500 Index Deletions written by Rashiqa Kamal and published by . This book was released on 2014 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: Kamal, Lawrence, McCabe, and Prakash (2012) argue that information asymmetry exists in the financial markets and additions to S&P 500 Index convey new information about the added firms to the uninformed investors. They further argue that because of important changes and regulations in the financial markets, like, Regulation Fair Disclosure, Sarbanes-Oxley Act, and Decimalization of the exchanges, in or after the year 2000, information asymmetry has decreased. In support of their arguments, they find that for additions, the positive abnormal returns on announcement day have decreased, and added stocks' liquidity changes have become marginal in the post-2000 period. We extend their work and for a sample of deletions between October 1989 and December 2011, we find that the negative abnormal returns on the announcement day are not significantly different in the post-2000 period, but the negative returns are reversed earlier in the post-2000 period. Contrary to our expectation, liquidity changes after deletion are significant in the post-2000 period. However, when we divide our sample into optioned versus nonoptioned stocks and control for other factors that affect liquidity, we find that liquidity changes after deletion are insignificant in the post-2000 period.
Download or read book The S P 500 Effect written by Daniel Cooper and published by . This book was released on 2002 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Investor Awareness and Market Segmentation written by Honghui Chen and published by . This book was released on 2002 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several studies have found that stock price changes resulting from firms added to the Samp;P 500 index can be best exp lained by a downward sloping demand curve. In this paper, we study price effects around both additions and deletions and find that the price effect of index changes is consistent with Merton's (1987) investor-awareness and market segmentation hypothesis. We find that the reduction in shadow cost of incomplete diversification that follows additions is correlated with abnormal returns accruing to the added stocks. We also find that the asymmetric price effects of additions and deletions that have not been explained by empirical studies thus far are consistent with market segmentation.
