Geppert, John M.; Ivanov, Stoyu I.; Karels, Gordon V. - In: Review of Accounting and Finance 10 (2011) November, pp. 411-426
Purpose – The purpose of this paper is to examine the shocks to firm's beta around the event of addition or deletion from the S&P 500 index. Design/methodology/approach – The total derivative of beta and Campbell and Vuolteenaho decomposition of beta methodologies are used, on monthly and...
