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Cited by 600

The DOI matches its Crossref record; 23 of the 23 references it cites were found in a registry or an index.

The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation

Open access
Chen, Honghui, Noronha, Gregory, Singal, Vijay·2004·The Journal of Finance
DOI 10.1111/j.1540-6261.2004.00683.x
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Abstract

We study the price effects of changes to the S&P 500 index and document an asymmetric price response: There is a permanent increase in the price of added firms but no permanent decline for deleted firms. These results are at odds with extant explanations of the effects of index changes that imply a symmetric price response to additions and deletions. A possible explanation for asymmetric price effects arises from the changes in investor awareness. Results from our empirical tests support the thesis that changes in investor awareness contribute to the asymmetric price effects of S&P 500 index additions and deletions.

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Crossref · 10.1111/j.1540-6261.2004.00683.x

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Metadata

Authors
Chen, H., Noronha, G., & Singal, V.
Venue
The Journal of Finance
Publisher
Wiley
Published
2004-08
Volume
59
Issue
4
Pages
1901-1930
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.2004.00683.x
OpenAlex
W3121445015
Cited by
600
References
23
FWCI
28.44
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation. https://app.cochat.ai/papers/10.1111/j.1540-6261.2004.00683.x
The paper
Chen, H., Noronha, G., & Singal, V. (2004). The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2004.00683.x

Data sources

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.