Business Faculty Publications
Title
Asymmetric Changes In Stock Prices And Investor Recognition Around Revisions To The S&P 500 Index
Document Type
Article
Publication Date
1-1-2011
Publication Title
Financial Analysts Journal
Keywords
S&P 500; stock indices; stock prices; investor recognition
Disciplines
Finance and Financial Management | Portfolio and Security Analysis
Abstract
This study finds that first-time additions to the S&P 500 Index or its family experience permanent price increases; however, companies upgraded from lesser-known S&P indices, reentering the S&P 500, or dropped from the index experience temporary price changes. These price patterns can be explained by changes in investor recognition.
Recommended Citation
Zhou, H. (2011). Asymmetric changes to stock prices and invesotr recognition around revisions to the S&P 500 index. Financial Analysts Journal, 67(1), 72-84. doi: 10.2469/faj.v67.n1.1
DOI
10.2469/faj.v67.n1.1
Volume
67
Issue
1