Beneish, Messod D.; Gardner, John C. - In: Journal of Financial and Quantitative Analysis 30 (1995) 01, pp. 135-157
We examine the stock market effect of changes in the composition of the Dow Jones Industrial Average (DJIA). Unlike S&P 500 listing studies, we find that the price and the trading volume of newly listed DJIA firms are unaffected. We attribute this result to a lack of index fund rebalancing,...