haku: @journal_id 62 / yhteensä: 680
viite: 131 / 680
| Tekijä: | Beneish, M. Gardener, J. |
| Otsikko: | Information costs and liquidity effects from changes in the Dow Jones industrial average list |
| Lehti: | Journal of Financial and Quantitative Analysis
1995 : MAR, VOL. 30:1, p. 135-157 |
| Asiasana: | INFORMATION CHANGE INDUSTRIES |
| Kieli: | eng |
| Tiivistelmä: | 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. |
SCIMA