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Regression Discontinuity and the Price Effects of Stock Market Indexing / Yen-cheng Chang, Harrison Hong, Inessa Liskovich.
- Format:
- Book
- Author/Creator:
- Chang, Yen-cheng.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w19290.
- NBER working paper series no. w19290
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2013.
- Summary:
- Studies find price increases for additions to the S&P 500 index but no decreases for deletions. Additions come with good earnings news, suggesting these studies are not just measuring an indexing effect. We develop a regression discontinuity design using Russell Indices for cleaner identification. Stocks are assigned to indices based on their end-of-May market capitalizations. Stocks ranked just below 1000 are in the Russell 2000. The indices are value-weighted so these stocks receive index buying whereas those just above 1000 have close to none. Using this random assignment, we find price effects for both additions and deletions.
- Notes:
- Print version record
- August 2013.
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