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Cited by 1,023

The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.

Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures

HARRIS, LAWRENCE, GUREL, EITAN·1986·The Journal of Finance
DOI 10.1111/j.1540-6261.1986.tb04550.x
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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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Crossref · 10.1111/j.1540-6261.1986.tb04550.x

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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
DOI
10.1111/j.1540-6261.1986.tb04550.x
OpenAlex
W2014256903
Cited by
1,023
References
1
FWCI
16.46
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).

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