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...

We examine the probability of deletion of a firm from the S&P 500 index due to a decision of the index committee because the firm did not satisfy the index committee criteria. We study the probability of deletion with survival analysis and neural networks methods. We document that deletion might...