search query: @author Gardener, J. / total: 1
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| Author: | Beneish, M. Gardener, J. |
| Title: | Information costs and liquidity effects from changes in the Dow Jones industrial average list |
| Journal: | Journal of Financial and Quantitative Analysis
1995 : MAR, VOL. 30:1, p. 135-157 |
| Index terms: | INFORMATION CHANGE INDUSTRIES |
| Language: | eng |
| Abstract: | The authors examine the stock market effect of changes in the composition of the Dow Jones Industrial Average (DJIA). Unlike S&P 500 listing studies, the authors find that the price and the trading volume of newly listed DJIA firms are unaffected. The authors attribute this result to a lack of index fund rebalancing, since index trading is limited for most of their sample period and index funds mimic the S&P 500, not the DJIA. Firms removed from the index, however, experience significant price declines. |
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