A growing literature uses the Russell 1000/2000 reconstitution event as an identification strategy to investigate corporate finance and asset pricing questions. To implement this identification strategy, researchers need to approximate the ranking variable used to assign stocks to indexes. We...

A growing literature uses the Russell 1000/2000 reconstitution event as an identification strategy to investigate corporate finance and asset pricing questions. To implement this identification strategy, researchers need to approximate the ranking variable used to assign stocks to indexes. We...

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...