Dbouk, Wassim; Kryzanowski, Lawrence - In: Applied financial economics 19 (2009) 7/9, pp. 693-702
This appears to be the first investigation of the impact of bond index additions and deletions on the returns of bonds … returns are positively (negatively) affected by bond index inclusions (exclusions), stock returns are unaffected by these bond … index revisions. These results suggest that, although bond index additions and deletions materially affect bond values when …