This paper investigates the relation between returns on stock indices and their corresponding futures contracts in order to evaluate potential explanations for the pervasive yet anomalous evidence of positive, short-horizon portfolio autocorrelations. Using a simple theoretical framework, we...

In recent years, the majority of additions to and deletions from the S&P 500 index have been stocks that were previously or subsequently included in the S&P 400 index. The announcement returns of these changes have been the opposite of what has been documented for all S&P 500 additions and...

While there is a vast amount of research on IPOs, little research has been done from the point of view of index funds and the excess return opportunity from buying IPOs before the index inclusion date. In this paper, we analyse U.S. listed IPOs, between 2010 and 2018, which were added to the...