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dc.contributor.authorKasch, Mariaen_US
dc.contributor.authorSarkar, Asanien_US
dc.description.abstractWe find that the firms included in the S&P 500 index are characterized by large increases in earnings, appreciation in market value, and positive price momentum in the period preceding their index inclusion. This strong preinclusion performance predicts 1) the permanent increase in market value and 2) the change in return comovement, reflected in declines of size, value, and momentum betas, following index inclusion. Nonevent control firms with similar performance experience similar appreciation in value and changes in comovement coincident with the event firms. Our results indicate that - after accounting for the firms' extraordinary preinclusion performance - index inclusion has no permanent effect on value and comovement.en_US
dc.publisherFederal Reserve Bank of New York New York, NYen_US
dc.relation.ispartofseriesStaff Report, Federal Reserve Bank of New York 484 [rev.]en_US
dc.subject.keywordS&P 500 inclusionsen_US
dc.subject.keywordpreinclusion performanceen_US
dc.subject.keywordfactor betasen_US
dc.subject.keywordvalue effecten_US
dc.titleIs there an S&P 500 Index effect?en_US
dc.typeWorking Paperen_US
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

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