The Russell Reconstitution Effect

By Ananth Madhavan. 2003

113 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/8a024cdc1f164af5d200e24fcecb581e6bce10a6

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. B. F. Ness
2. Darrell Duffie
3. W. B. Elliott
4. Mark D. Walker
5. Richard S. Warr
6. Niamh M. Brennan
7. John Y. Campbell
8. D. Merkl-Davies

In Finance

1. B. F. Ness
2. Darrell Duffie
3. W. B. Elliott
4. Mark D. Walker
5. Richard S. Warr
6. Francis A. Longstaff
7. John Y. Campbell
8. Kay Giesecke

Citations in the corpus

• Asset Price Dynamics with Slow-Moving Capital (2010, background): “…recoveries associated with index recompositions, including both debt and equity indices, 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…”
• What Drives the S&P 500 Inclusion Effect? An Analytical Survey (2006, background): “Madhavan (2003) finds evidence of both a temporary and permanent return component associated with index reconstitution of the Russell 2000 and 3000 indices.”