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| Tekijä: | Lynch, A. W. Mendenhall, R. R. |
| Otsikko: | New evidence on stock price effects associated with changes in the S&P 500 index. |
| Lehti: | Journal of Business
1997 : JUL, VOL. 70:3, p. 351-383 |
| Asiasana: | STOCK MARKETS SHARE PRICES STOCK INDEX OPTIONS MARKET EFFICIENCY USA |
| Kieli: | eng |
| Tiivistelmä: | Since October 1989, Standard and Poor's has announced changes in the composition of the S&P 500 index 1 week in advance. Because index funds held 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 retuns that are only partially reversed following additions (deletions). These results indicate the existence of temporary price pressure and downward-sloping long-run demand curves for stocks and represent a violation of market efficiency. |
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