<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>We examine how abnormal returns and abnormal return determinants change when a company is added to S&amp;P 500. Newly added companies experience a significant increase in abnormal returns around the announcement and addition dates. This increase is accompanied by an improvement in liquidity and a decrease in associated shadow cost. While before their addition, firm-specific abnormal returns can be explained by price impact, they are explained by changes in trading activity during the addition event. Additionally, companies with higher leverage ratios benefit more from index affiliation.</p>
</abstract>

We examine how abnormal returns and abnormal return determinants change when a company is added to S&P 500. Newly added companies experience a significant increase in abnormal returns around the announcement and addition dates. This increase is accompanied by an improvement in liquidity and a decrease in associated shadow cost. While before their addition, firm-specific abnormal returns can be explained by price impact, they are explained by changes in trading activity during the addition event. Additionally, companies with higher leverage ratios benefit more from index affiliation.

The Price Impact of S&amp;P 500 Affiliation

Studia Universitatis Babes-Bolyai Oeconomica

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

{"article-title":"The Price Impact of S&P 500 Affiliation"}

We examine how abnormal returns and abnormal return determinants change when a company is added to S&P 500. Newly added companies experience a significant...

The Price Impact of S&P 500 Affiliation

Publié en ligne: 08 mai 2023

Pages: 42 - 61

DOI: https://doi.org/10.2478/subboec-2023-0003

Mots clés
Index addition, index restructuring, stock addition, liquidity, abnormal returns

© 2023 Daria Gavrilova, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

The Price Impact of S&P 500 Affiliation

Publié en ligne: 08 mai 2023

Pages: 42 - 61

DOI: https://doi.org/10.2478/subboec-2023-0003

Mots clésIndex addition, index restructuring, stock addition, liquidity, abnormal returns

© 2023 Daria Gavrilova, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Mots clés
Index addition, index restructuring, stock addition, liquidity, abnormal returns