Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5084431 | International Review of Financial Analysis | 2017 | 44 Pages |
Abstract
The practice of periodically reconstituting equity indices suggests that changes to the composition of an index can impact the performance of firms whose stocks are added to or dropped from the index. This paper reviews and provides a comprehensive assessment of the academic literature on how changes in the composition of a stock index impacts prices, trading volume and other firm attributes. The review focuses on post-2000 contributions. It highlights and critically discusses major areas of controversy, disagreement and debate in both the empirical and methodological literature, and puts forth a promising agenda for future research. This is the first comprehensive survey of studies on the index effect and it should be particularly useful to portfolio managers and investors.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Pyemo N. Afego,