AMBIENTUM BIOETHICA BIOLOGIA CHEMIA DIGITALIA DRAMATICA EDUCATIO ARTIS GYMNAST. ENGINEERING EPHEMERIDES EUROPAEA GEOGRAPHIA GEOLOGIA HISTORIA HISTORIA ARTIUM INFORMATICA IURISPRUDENTIA MATHEMATICA MUSICA NEGOTIA OECONOMICA PHILOLOGIA PHILOSOPHIA PHYSICA POLITICA PSYCHOLOGIA-PAEDAGOGIA SOCIOLOGIA THEOLOGIA CATHOLICA THEOLOGIA CATHOLICA LATIN THEOLOGIA GR.-CATH. VARAD THEOLOGIA ORTHODOXA THEOLOGIA REF. TRANSYLVAN
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STUDIA OECONOMICA - Ediţia nr.1 din 2023 | |||||||
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THE PRICE IMPACT OF S&P 500 AFFILIATION. Autori: DARIA GAVRILOVA. |
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Rezumat: DOI: 10.2478/subboec-2023-0003 Published Online: 2023-04-25 Published Print: 2023-04-25 pp. 42-61 VIEW PDF FULL PDF 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. JEL Classification: G10, G12, G14 Keywords: Index addition, index restructuring, stock addition, liquidity, abnormal returns |
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