Working paper
Negative Returns on Addition to S&P 500 Index and Positive Returns on Deletion? New Evidence on Attractiveness of S&P 500 vs. S&P 400 Indexes
Financial Management
SSRN
10/05/2020
DOI: 10.2139/ssrn.3676340
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 2016-2019, such ‘upward additions' to the S&P 500 index resulted in an average announcement excess return of -2.31% over a three-day period while ‘downward deletions' resulted in an excess return of +1.21%. We explain these new results by the increasing ownership of S&P 400 stocks by institutional investors, the majority of whom are active fund managers. 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 S&P 500 Index and Positive Returns on Deletion? New Evidence on Attractiveness of S&P 500 vs. S&P 400 Indexes
- Creators
- Anand M VijhJiawei (Brooke) Wang - University of Iowa
- Resource Type
- Working paper
- Publication Details
- Financial Management
- Publisher
- SSRN
- DOI
- 10.2139/ssrn.3676340
- Number of pages
- 52 pages
- Language
- English
- Date posted
- 10/05/2020
- Date updated
- 03/28/2022
- Academic Unit
- Finance
- Record Identifier
- 9984380360602771
Metrics
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