Denis, Diane K.; McConnell, John J.; Ovtchinnikov, Alexei V. - In: Journal of Finance 58 (2003) 5, pp. 1821-1840
Stock price increases associated with addition to the S&P 500 Index have been interpreted as evidence that demand curves for stocks slope downward. A key premise underlying this interpretation is that Index inclusion provides no new information about companies' future prospects. We examine this...