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- Publisher
- Oxford University Press
- Copyright
- © The Author 2017. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please email: journals.permissions@oup.com
- ISSN
- 2045-9920
- eISSN
- 2045-9939
- DOI
- 10.1093/rapstu/rax012
- Publisher site
- See Article on Publisher Site
Abstract
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. Stocks no longer experience permanent shifts in investor demand when they are either added to or removed from the S&P 500.Received April 19, 2016; editorial decision January 23, 2017 by Editor Jeffrey Pontiff
Journal
The Review of Asset Pricing Studies – Oxford University Press
Published: Dec 1, 2017