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 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.

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 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 Understanding the S P 500 written by Indrani De and published by . This book was released on 2015 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper highlights how the international business exposure of the S&P 500 constituents has evolved over the past decade. It demonstrates that a large and increasing fraction of the revenue of the S&P 500 constituents comes from international markets. In 2010, almost 40 percent of the market-weighted sales of the S&P 500 were international. In the past decade, almost 40 percent of the S&P 500's earnings growth came from international sales, and in some years it was almost 60 percent. The S&P 500 constituents benefit from the fast growth in the emerging markets of Latin America and Asia. The S&P 500 offers ample geographic diversification, and it benefits from emerging markets growth. The U.S. index offers sector diversification close to that of the global index.S&P 500 provides U.S. investors with a good global diversification opportunity because U.S. firms in the index have large and increasing business exposure in international markets. As a result, the S&P 500 provides global stock market exposure to U.S. investors. These economic factors drive the high degree of co-movement between the returns of the S&P 500 and global indexes. Domestic U.S. investors achieve substantial diversification benefits, by either investing in S&P 500 index funds or actively investing using the S&P 500 as the benchmark. For active managers, understanding the extent of international exposure inherent in the S&P 500 is an important part of knowing the index characteristics.

Download or read book S P 500 Earnings Valuation and the Pandemic written by Joseph Abbott and published by Yri Books. This book was released on 2020-11-18 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this unique primer, Edward Yardeni and Joseph Abbott, two of the world's most experienced and widely followed investment strategists, provide investors with a practical understanding of the forces that drive the stock market. This study focuses on the S&P 500 stock price index, examining how it is determined by the earnings of the 500 companies that are included in the index and the valuation of those earnings by the stock market. Notwithstanding occasional bear markets, the S&P 500 has been a great investment over the years-so much so that "S&P" could stand for "Success & Profit." The first chapter in this study covers the various measures of earnings for the S&P 500 and why they favor forward earnings among them. The second chapter discusses various models of valuation, again focusing on the S&P 500. The final chapter uses the resulting analytical framework to review how it has worked in good times and bad, focusing on the Great Financial Crisis and the Great Virus Crisis. The market discounts analysts' consensus estimates for revenues and earnings this year and next year on a time-weighted basis. Calculating weekly forward revenues and forward earnings from analysts' estimates can provide very timely insights into the performance of the global economy as well as the underlying trends in quarterly revenues and earnings. While this framework provides a disciplined approach to analyzing the macroeconomic fundamentals that are driving earnings, the valuation of those earnings by investors will continue to be much more subjective than objective. Nevertheless, there are fundamental factors that influence valuation multiples. Some, like inflation and interest rates, will always be important in assessing the valuation question. Other factors may be relatively new and worthy of careful analysis.

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 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 Investors Behavior on S P 500 Index During Periods of Market Crashes written by Michail Vamvakaris and published by . This book was released on 2017 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors' behavior in the market is highly related to the properties that financial time series capture. Particularly, nowadays the availability of high frequency datasets provides a reliable source for the better understanding of investors' psychology. The main aim of this chapter is to identify changes in the persistency as well as in the local degree of irreversibility of S&P 500 price-index time series. Thus, by considering the US stock market from 1996 to 2010, we investigate how the Dot.com as well as the Subprime crashes affected investors' behavior. Our results provide evidences that Efficient Market Hypothesis does not hold as the high frequency S&P 500 data can be better modeled by using a fractional Brownian motion. In addition, we report that both crises only temporary effect investors' behavior, and interestingly, before the occurrence of these two major events, the index series exhibited a kind of “nervousness” on behalf of the investors.

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 ETFs and Systemic Risks written by Ayan Bhattacharya and published by CFA Institute Research Foundation. This book was released on 2020-01-22 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exchange-traded funds (ETFs) revolutionized asset markets by using an innovative structure to make investing in a wide variety of asset classes simpler and cheaper. With their growing importance has come increasing concern that these products pose new risks to market stability and performance. This paper examines whether ETFs affect systemic risks in financial markets and, if they do, what the mechanism is by which this impact occurs and what can be done to keep the risks under control. We review current research and empirical evidence on these issues and discuss some emerging risks in ETFs. We ask whether we have the right “rules of the road” to deal with the new drivers of market behavior.

Download or read book Extended Stock Returns in Response to S P 500 Index Changes written by Nimesh Patel and published by . This book was released on 2016 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Our paper investigates extended abnormal returns for S&P 500 index changes in a comprehensive 1979-2015 sample. The literature's depiction of longer window returns lacked both appropriate nuance and cross-sectional analysis. Solid evidence for reversion appears in the 2000s. It suggests that stocks no longer experience permanent shifts in investor demand when they are added to or removed from the S&P 500.

Download or read book Trillions written by Robin Wigglesworth and published by Penguin. This book was released on 2021-10-12 with total page 353 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the Financial Times's global finance correspondent, the incredible true story of the iconoclastic geeks who defied conventional wisdom and endured Wall Street's scorn to launch the index fund revolution, democratizing investing and saving hundreds of billions of dollars in fees that would have otherwise lined fat cats' pockets. Fifty years ago, the Manhattan Project of money management was quietly assembled in the financial industry's backwaters, unified by the heretical idea that even many of the world's finest investors couldn't beat the market in the long run. The motley crew of nerds—including economist wunderkind Gene Fama, humiliated industry executive Jack Bogle, bull-headed and computer-obsessive John McQuown, and avuncular former WWII submariner Nate Most—succeeded beyond their wildest dreams. Passive investing now accounts for more than $20 trillion, equal to the entire gross domestic product of the US, and is today a force reshaping markets, finance and even capitalism itself in myriad subtle but pivotal ways. Yet even some fans of index funds and ETFs are growing perturbed that their swelling heft is destabilizing markets, wrecking the investment industry and leading to an unwelcome concentration of power in fewer and fewer hands. In Trillions, Financial Times journalist Robin Wigglesworth unveils the vivid secret history of an invention Wall Street wishes was never created, bringing to life the characters behind its birth, growth, and evolution into a world-conquering phenomenon. This engrossing narrative is essential reading for anyone who wants to understand modern finance—and one of the most pressing financial uncertainties of our time.

Download or read book History of the Railroads and Canals of the United States written by Henry Varnum Poor and published by . This book was released on 1860 with total page 658 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Liquidity and Asset Prices written by Yakov Amihud and published by Now Publishers Inc. This book was released on 2006 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.

Download or read book The Only Guide to a Winning Investment Strategy You ll Ever Need written by Larry E. Swedroe and published by Macmillan + ORM. This book was released on 2005-01-01 with total page 197 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment professional Larry E. Swedroe describes the crucial difference between "active" and "passive" mutual funds, and tells you how you can win the investment game through long-term investments in such indexes as the S&P 500 instead of through the active buying and selling of stocks. A revised and updated edition of an investment classic, The Only Guide to a Winning Investment Strategy You'll Ever Need remains clear, understandable, and effective. This edition contains a new chapter comparing index funds, ETFs, and passive asset class funds, an expanded section on portfolio care and maintenance, the addition of Swedroe's 15 Rules of Prudent Investing, and much more. In clear language, Swedroe shows how the newer index mutual funds out-earn, out-perform, and out-compound the older funds, and how to select a balance "passive" portfolio for the long hail that will repay you many times over. This indispensable book also provides you with valuable information about: - The efficiency of markets today - The five factors that determine expected returns of a balanced equity and fixed income portfolio - Important facts about volatility, return, and risk - Six steps to building a diversified portfolio using Modern Portfolio Theory - Implementing the winning strategy - and more.

Download or read book Concentrated Investing written by Allen C. Benello and published by John Wiley & Sons. This book was released on 2016-04-01 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discover the secrets of the world's top concentrated value investors Concentrated Investing: Strategies of the World's Greatest Concentrated Value Investors chronicles the virtually unknown—but wildly successful—value investors who have regularly and spectacularly blown away the results of even the world's top fund managers. Sharing the insights of these top value investors, expert authors Allen Benello, Michael van Biema, and Tobias Carlisle unveil the strategies that make concentrated value investing incredibly profitable, while at the same time showing how to mitigate risk over time. Highlighting the history and approaches of four top value investors, the authors tell the fascinating story of the investors who dare to tread where few others have, and the wildly-successful track records that have resulted. Turning the notion of diversification on its head, concentrated value investors pick a small group of undervalued stocks and hold onto them through even the lean years. The approach has been championed by Warren Buffett, the best known value investor of our time, but a small group of lesser-known investors has also used this approach to achieve outstanding returns. Discover the success of Lou Simpson, a former GEICO investment manager and eventual successor to Warren Buffett at Berkshire Hathaway Read about Kristian Siem, described as "Norway's Warren Buffett," and the success he has had at Siem Industries Concentrated Investing will quickly have you re-thinking the conventional wisdom related to diversification and learning from the top concentrated value investors the world has never heard of.