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

Haigang Zhou

doi:10.2469/faj.v67.n1.1

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

Haigang Zhou

Research output: Contribution to journal › Article › peer-review

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.

Original language	American English
Journal	Financial Analysts Journal
Volume	67
DOIs	https://doi.org/10.2469/faj.v67.n1.1
State	Published - Jan 1 2011

Keywords

S&P 500; stock indices; stock prices; investor recognition

Disciplines

Finance and Financial Management
Portfolio and Security Analysis

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10.2469/faj.v67.n1.1License: CC BY

Cite this

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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.",

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note = "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",

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

Abstract

Keywords

Disciplines

Access to Document

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