Abstract
We investigate the long-term effects of S&P 500 index additions and deletions on a sample of stocks from 1962 to 2003 and find a significant long-term price increase for both added and deleted stocks, with deleted stocks outperforming added stocks. The long-term price increase for added stocks can be attributed to increases in institutional ownership, liquidity, and analyst coverage, and a decrease in the shadow cost in the long-term. However, while deletion has no significant effect on analyst coverage and shadow cost, we find a rebound in the institutional ownership and liquidity of deleted stocks. The difference in the long-term price increase of added and deleted stocks can be explained by analyst coverage and operating performance.
Original language | English |
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Pages (from-to) | 4920-4930 |
Number of pages | 11 |
Journal | Journal of Banking and Finance |
Volume | 37 |
Issue number | 12 |
DOIs | |
Publication status | Published - Dec 2013 |
User-Defined Keywords
- Information quality
- Liquidity
- Long-run performance
- Operating performance
- S&P 500 index revision