Asymmetric Changes In Stock Prices And Investor Recognition Around Revisions To The S&P 500 Index

Authors

Haigang Zhou, Cleveland State UniversityFollow

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