Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/62942 
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dc.contributor.authorKasch, Mariaen
dc.contributor.authorSarkar, Asanien
dc.date.accessioned2012-09-12-
dc.date.accessioned2012-09-20T13:06:03Z-
dc.date.available2012-09-20T13:06:03Z-
dc.date.issued2011-
dc.identifier.urihttp://hdl.handle.net/10419/62942-
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
dc.language.isoengen
dc.publisher|aFederal Reserve Bank of New York |cNew York, NYen
dc.relation.ispartofseries|aStaff Report |x484 [rev.]en
dc.subject.jelG10en
dc.subject.jelG12en
dc.subject.jelG14en
dc.subject.ddc330en
dc.subject.keywordS&P 500 inclusionsen
dc.subject.keywordpreinclusion performanceen
dc.subject.keywordearningsen
dc.subject.keywordfactor betasen
dc.subject.keywordvalue effecten
dc.titleIs there an S&P 500 Index effect?-
dc.typeWorking Paperen
dc.identifier.ppn725567759en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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