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Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures
Abstract
Attempts to identify price pressures caused by large transactions may be inconclusive if the transactions convey new information to the market. This problem is addressed in an examination of prices and volume surrounding changes in the composition of the S&P 500. Since these changes cause some investors to adjust their holdings of the affected securities and since it is unlikely that the changes convey information about the future prospects of these securities, they provide an excellent opportunity to study price pressures. The results are consistent with the price‐pressure hypothesis: immediately after an addition is announced, prices increase by more than 3 percent. This increase is nearly fully reversed after 2 weeks.
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Cites
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Satterthwaite, F. E. (1946) · Biometrics Bulletin · doi:10.2307/3002019 · Cited by 4,373
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Metadata
- Authors
- HARRIS, L., & GUREL, E.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1986-09
- Volume
- 41
- Issue
- 4
- Pages
- 815-829
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2014256903
- Cited by
- 1,023
- References
- 1
- FWCI
- 16.46
- Type
- journal article
- Language
- en
- Open access
- closed
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- HARRIS, L., & GUREL, E. (1986). Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1986.tb04550.x
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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.
