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Published (Version of record)CC BY-NC-ND V4.0, Open Access
Journal article
Negative returns on addition to the S&P 500 index and positive returns on deletion? New evidence on the attractiveness of S&P 500 versus S&P 400 indexes
Financial management, Vol.51(4), pp.1127-1164
2022
DOI: 10.1111/fima.12391
Appears in UI Libraries Support Open Access
Abstract
In recent years, the majority of additions to and deletions from the S&P 500 index have been stocks that were previously or subsequently included in the S&P 400 index. The announcement returns of these changes have been the opposite of what has been documented for all S&P 500 additions and deletions in an extensive literature. During 2016–2020, such “upward additions” to the S&P 500 index resulted in an average announcement excess return of –2.48% over a 3‐day period, while “downward deletions” to the S&P 400 index resulted in an excess return of +1.37%. We explain these new results by the increasing total institutional ownership of S&P 400 stocks. Our results thus show the increasing benefits of being included in the mid‐cap S&P 400 index relative to being included in the large‐cap S&P 500 index.
Details
- Title: Subtitle
- Negative returns on addition to the S&P 500 index and positive returns on deletion? New evidence on the attractiveness of S&P 500 versus S&P 400 indexes
- Creators
- Anand M. Vijh - University of IowaJiawei (Brooke) Wang - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Financial management, Vol.51(4), pp.1127-1164
- Publisher
- Wiley
- DOI
- 10.1111/fima.12391
- ISSN
- 0046-3892
- eISSN
- 1755-053X
- Number of pages
- 38
- Language
- English
- Date published
- 2022
- Academic Unit
- Finance
- Record Identifier
- 9984323338902771
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