Asymmetric Changes In Stock Prices And Investor Recognition Around Revisions To The S&P 500 Index
Financial Analysts Journal
S&P 500; stock indices; stock prices; investor recognition
Finance and Financial Management | Portfolio and Security Analysis
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.
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