The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index
Abstract
Since October 1989, Standard and Poor's has (when possible) announced changes in the composition of the S&P 500 index one week in advance. Because index funds hold S&P 500 stocks to minimize tracking error, index composition changes since this date provide an opportunity to examine the market reaction to an anticipated change in the demand for a stock. Using post-October 1989 data, the authors document significantly positive (negative) postannouncement abnormal returns that are only partially reversed following additions (deletions). These results indicate the existence of temporary price pressing and downward-sloping long-run demand curves for stocks and represent a violation of market efficiency. Copyright 1997 by University of Chicago Press.
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Cites
Efficient capital markets: A review of theory and empirical work
Fama, E. F. (1970) · The Journal of Finance · doi:10.2307/2325486 · Cited by 13,635
FAMA, E. F. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb04636.x · Cited by 5,350
Survivorship Bias in Performance Studies
Brown, S. J., Goetzmann, W., Ibbotson, R. G., & Ross, S. A. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.4.553 · Cited by 1,121
Cited by
Institutional Investors and Equity Prices
Gompers, P. A., & Metrick, A. (2001) · The Quarterly Journal of Economics · doi:10.1162/003355301556392 · Cited by 1,632
Chen, H., Noronha, G., & Singal, V. (2004) · The Journal of Finance · doi:10.1111/j.1540-6261.2004.00683.x · Cited by 600
Mitchell, M., Pulvino, T., & Stafford, E. (2004) · The Journal of Finance · doi:10.1111/j.1540-6261.2004.00626.x · Cited by 426
Changes in Institutional Ownership and Stock Returns: Assessment and Methodology*
Sias, R. W., Starks, L. T., & Titman, S. (2006) · The Journal of Business · doi:10.1086/508002 · Cited by 386
Demand Curves for Stocks Do Slope Down: New Evidence from an Index Weights Adjustment
Kaul, A., Mehrotra, V., & Morck, R. (2000) · The Journal of Finance · doi:10.1111/0022-1082.00230 · Cited by 377
Metadata
- Authors
- Lynch, A. W., & Mendenhall, R. R.
- Venue
- The Journal of Business
- Publisher
- University of Chicago Press
- Published
- 1997-07
- Volume
- 70
- Issue
- 3
- Pages
- 351-383
- ISSN
- 0021-9398 (ISSN-L)
- 1537-5374
- OpenAlex
- W3123822975
- Cited by
- 492
- References
- 3
- FWCI
- 14.53
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
