Kaserer, Christoph; Munzinger, Jakob; Wagner, Niklas F. - 2004 - Version: October 2004
The purpose of this paper is to examine additions and deletions of the S&P500. Competing event studies will be performed to analyze the announcement effect with different benchmarks. The main components of the paper are a Market Model based event study and a GARCH(1,1)-M Model study. The GARCH-M...
