We find that the firms included in the S&P 500 index are characterized by large increases in earnings, appreciation in … market value, and positive price momentum in the period preceding their index inclusion. This strong preinclusion performance …, and momentum betas, following index inclusion. Nonevent control firms with similar performance experience similar …

In this study we attempt to answer the question – does the start of pre-announcing of S&P 500 index changes in October …

We construct a market aggregate news confidence index (ANCI) by collecting the huge Chinese financial news related to … sentiment proxy for the decision reference. The empirical results show that daily ANCI could be a leading index to the trading … volume, trading value, turnover and volatility index in the Taiwan stock market. On the other hand, weekly and monthly ANCI …

This paper investigates how the introduction of an index security directly or indirectly impacts the underlying-index … spot-futures pricing. Using intraday data for financial instruments related to the CAC 40 index, we do not find that the … shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the …

existence of momentum anomaly in BIST 100 index during the period July 2008 to June 2015. Jegadeesh and Titman (1993) J month … period and investment period in BIST 100 Index. Results are significant in 9- 12-month momentum investment and 3-6-9-12-month …

standalone market indexes. Reclassifications from one index to another require thousands of investors to decide how to react. We … substantially overshoot between the announcement and effective dates—prices fall when a market moves from an index with more …

This paper proposes a tail risk index, TIX, as the growth rate of the model-free cumulant generating function of market … risk calculated from index option prices. It captures the power law decay rate of the left tail of future return …

volatility clusters in India's implied volatility index (Nifty VIX) daily closing levels for the Nifty VIX were gathered covering …'s Nifty implied volatility index appeared linked to important global financial events external to India during the study …

We empirically examine the effects of index investing using predictions derived from a Grossman-Stiglitz framework. An … increase in index investing leads to lower information production as measured by Google searches, EDGAR views, and analyst … choose to be informed active traders whenever it is profitable. As index investing increases there are fewer informed active …