Regression Discontinuity and the Price Effects of Stock Market Indexing

By Yen‐Cheng Chang, Harrison G. Hong, I. Liskovich. 2013

287 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/77ab943d34fd80a508cb183a7b6666313befee7d

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Citations in the corpus

Can Sustainable Investing Save the World? Reviewing the Mechanisms of Investor Impact (2020, background): “The studies by Bagwell (1992), Chang et al. (2015), and Shleifer (1986) indicate lower elasticities, of between -1 and -1.5. Only a few studies investigate demand effects in private markets such as markets for private equity and venture capital. Gompers and Lerner (2000) show that a doubling of infl”
Passive Investors, Not Passive Owners (2016, background): “In particular, they support greater board independence and oppose takeover defenses, like poison pills, restrictions on shareholders’ ability to call special meetings, and dual class shares (see Appendix).”
In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis (2021, methodology): “This is in contrast with the very large literature that studies the micro-elasticity of the market (which describes how much the relative price of two stocks changes if one buys $1 of one, and sells $1 of the other): this literature includes Shleifer (1986), Wurgler and Zhuravskaya (2002), Duffie (2”
Do Exogenous Changes in Passive Institutional Ownership Affect Corporate Governance and Firm Value (2017, unknown): “Chang, Hong, and Liskovich (2015) 1 We take great care to only examine announcements of director appointments and accumulation of titles that are communicated on days without confounding news.”
Do Institutional Investors Demand Public Disclosure (2016, unknown): “In the results presented here we follow Crane et al. [2014] and and impose a k-order polynomial control function on the market capitalization ranks provided and used by Russell, but, in untabulated results we confirm that our main findings hold if we alternatively impose a k-order polynomial control”
Institutional Cross-Ownership and Corporate Strategy: The Case of Mergers and Acquisitions (2018, unknown): “Chang et al. (2015) find that because both the Russell 1000 and the Russell 2000 indexes are value-weighted, Russell index tracking funds raise (reduce) their investment in firms that switch from the bottom (top) of the Russell 17These classifications are developed in Bushee (1998) and Bushee and…”
Governance and Taxes: Evidence from Regression Discontinuity (2016, unknown): “Whereas we use the Russell 1000/2000 threshold to study the tax preferences of institutional investors, other recent papers have used this threshold to analyze the price effects of index reconstitutions (Chang et al. 2015), the monitoring effects of index portfolio weights (Fich, Harford, and Tran 2”
The Effect of Institutional Ownership on Firm Transparency and Information Production (2015, unknown): “This selection is similar to Crane et al. (2014), but contrasts with that of Chang et al. (2014) and Cao et al. (2014), who use the May market capitalization to predict index inclusion and portfolio weights.”
Institutional Ownership and Corporate Tax Avoidance: New Evidence (2017, methodology): “…to a significant asymmetry in institutional ownership at the threshold of the 1000 and 2000 indices: while firms on either side of the threshold are similar in size, firms at the top of the Russell 2000 have ten times the index weights of firms at the bottom of the Russell 1000 (Chang et al. 2015).”
Do Index Funds Monitor? (2021, background): “The coefficient on the InverseMillsRatio is negative and statistically significant, which is consistent with significant selection bias in studies of fund exit behavior (Coffee (1991), Bhide (1993), and Edmans, Fang, and Zur (2013) discuss the implications of liquidity for governance).”