Index Inclusion Effect—Growth vs. Value

Date
2008
Journal Title
Journal ISSN
Volume Title
Publisher
Producer
Director
Performer
Choreographer
Costume Designer
Music
Videographer
Lighting Designer
Set Designer
Crew Member
Funder
Rehearsal Director
Concert Coordinator
Moderator
Panelist
Alternative Title
Department
Haverford College. Department of Economics
Type
Thesis
Original Format
Running Time
File Format
Place of Publication
Date Span
Copyright Date
Award
Language
eng
Note
Table of Contents
Terms of Use
Rights Holder
Access Restrictions
Haverford users only
Tripod URL
Identifier
Abstract
On average, stocks that are added to a prominent stock index exhibit positive abnormal price change following inclusion. This paper examines the difference in magnitude of the inclusion effect on the stock prices of growth and value firms added to the Standard and Poor’s 500 Index from January 2000 to December 2006. Looking at price changes of 123 stocks one day, two days, one week, one month, and one year after inclusion, I find no statistically significant difference in price movement between growth and value stocks, but the results suggest that the effect is greater on growth stocks than on value stocks one- and two-day post-inclusion. Also, value stocks exhibit significantly greater price increase than growth stocks a year after inclusion.
Description
Citation
Collections