The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation

By Honghui Chen, Gregory M. Noronha, Vijay Singal. 2004

609 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/15e0797e7a03096703b619c73eaf2dde5704d6d5

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Citations in the corpus

Labor-Friendly Corporate Practices: Is What is Good for Employees Good for Shareholders? (2011, background): “A positive reaction for additions to the list but no significant impact for deletions is consistent with Chen et al. (2004) who find positive price responses for additions to the S&P 500 index but no significant price impacts for deletions.”
Investor recognition and stock returns (2008, neutral): “2 and with the results reported in Chen et al. (2002). The second column adds controls for the autocorrelation by incorporating DBREADTH for period t - 1 (two periods ago relative to return) and DBREADTH for period t + 1 (contemporaneous relative to return) in the regression.”
Asset Price Dynamics with Slow-Moving Capital (2010, methodology): “Chen, Noronha, and Singhal (2004) provide related empirical evidence for index additions, which seems to suggest that presence in a major stock index is associated with some permanent extra demand.”
What Drives the S&P 500 Inclusion Effect? An Analytical Survey (2006, methodology): “In aggregate, virtually all 1Our choices of which firms to exclude reflect those made by Denis et al. (2003), and Chen et al. (2004), who kindly provided us with their respective samples.”
Attracting investor attention through advertising (2014, background): “9See, for example, Gervais, Kaniel, and Mingelgrin (2001); Chen, Noronha, and Singal (2004); Seasholes and Wu (2007); Barber and Odean (2008); Lehavy and Sloan (2008); Fang and Peress (2009); Kaniel, Li, and Starks (2010).”
Limits of Arbitrage (2010, neutral): “For example, Chen et al. (2004) find that over 1989-2000, a stock’s price would increase by an average 5.45% on the day of the announcement that the stock would be added to the index, and a further 3.45% from the announcement day to the day of the actual addition.”
The Role of Newswires in Screening and Disseminating Value-Relevant Information in Periodic SEC Reports (2011, positive): “2002; Chen et al. 2004, 2006; Docking and Dowen 2006; Elliott et al. 2006; Mase 2006) suggests that firms whose shares are included in a major market index have increased investor awareness.”
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010, background): “Chen et al. (2004) provide related empirical evidence for index additions, which seems to suggest that presence in a major stock index is associated with some permanent extra demand.”
Liquidity and Market Crashes (2009, neutral): “” While direct measurements of participation costs are hard, there is increasing evidence demonstrating their significance (see, for example, Coval and Stafford (2007) and Mitchell, Pedersen, and Pulvino (2007)).”
Asset Prices and Institutional Investors (2013, neutral): “The extensive literature on index effects growing out of Harris and Gurel (1986) and Shleifer (1986) has now confirmed in many countries and many markets that stocks rise when added to an index (e.g., Wurgler and Zhuravskaya (2002), Chen, Noronha, and Singal (2004) and Greenwood (2005)).”