Demand Curves for Stocks Do Slope Down: New Evidence from an Index Weights Adjustment

By Aditya Kaul, Vikas Mehrotra, Randall K. Morck. 2000

416 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5b3ddb558ed3612b6f849bd632f027f5e78f9dcd

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Citations in the corpus

What Drives the S&P 500 Inclusion Effect? An Analytical Survey (2006, background): “Further evidence of downward sloping demand curves comes from Kaul, Mehrotra, and Morck (2000) who find that stock values change in response to the re-weighting of the Toronto Stock Exchange 300 Index in 1996.”
The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation (2004, background): “The result in Kaul, Mehrotra, and Morck (2000) deserves special mention.”
Do Domestic Investors Have an Information Advantage? Evidence from Indonesia (2005, background): “[11] Kaul, Aditya, Vikas Mehrotra and Randall Morck, 2000, \Demand Curves for Stocks Do Slope Down: New Evidence from an Index Weights Adjustment," Journal of Finance 55(2), 893-912.”
Corporate Financing Decisions When Investors Take the Path of Least Resistance (2007, neutral): “Shleifer (1986), Harris and Gurel (1986), and more recently Kaul, Mehrotra, and Morck (2000), Wurgler and Zhuravskaya (2002), and Greenwood (2005) illustrate the price impact of uninformed demand, by examining index inclusion and rebalancing decisions.”
Short- and long-term demand curves for stocks: theory and evidence on the dynamics of arbitrage (2005, background): “…1986; Harris and Gurel, 1986; Goetzmann and Garry, 1986; Dhillon and Johnson, 1991; Lynch and Mendenhall, 1997; Wurgler and Zhuravskaya, 2002; and Kaul, Mehrotra, and Morck, 2000. the vector of event returns is proportional to the product of the covariance of fundamental risk and the vector of…”
Institutional Investor Preferences and Price Pressure: The Case of Corporate Spin-Offs (2003, neutral): “…(Harris and Gurel 1986; Lynch and Mendenhall 1997), results from other studies are consistent with institutional trading causing a shift in the supply curve and thus a price movement because of downward-sloping demand curves (Shleifer 1986; Kaul, Mehrotra, and Morck 2000; Gompers and Metrick 2001).”
Managing Underwriters and the Marketing of Seasoned Equity Offerings (2010, neutral): “…or deletions of index components also find support for a negatively sloped demand curve (see Harris and Gurel (1986), Shleifer (1986), Dhillon and Johnson (1991), Lynch and Mendenhall (1997), Kaul, Mehrotra, and Morck (2000), Wurgler and Zhuravskaya (2002), and Greenwood (2005), among others).”
Asset Price Dynamics with Slow-Moving Capital (2010, background): “…include those of Shleifer (1986), Harris and Gurel (1986), Madhavan (2001), Greenwood (2005), Mitchell, Pulvino, and Stafford (2002), Wurgler and Zhuravskaya (2002), Kaul, Mehrotra, and Morck (2000), Coudert and Gex (2008), Chen, Lookman, Schürhoff, and Seppi (2009), and Feldhütter (2009).”
Price and Volume Effects of Changes in MSCI indices – Nature and Causes (2005, neutral): “Kaul et al (2000) study the effects of redefinition of the public float in the Toronto Stock Exchange 300 index and find strong support for the downward sloping demand curve hypothesis.”
Does Arbitrage Flatten Demand Curves for Stocks (2000, neutral): “Kaul et al. (2000) document price changes following a reweighting of the Toronto Stock Exchange 300 Index.”