An improved method to predict assignment of stocks into Russell indexes

Itzhak Ben-David (Ohio State University and NBER), Francesco A. Franzoni (Università della Svizzera italiana, Swiss Finance Institute, and CEPR), Rabih Moussawi (Villanova University and University of Pennsylvania)

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 develop a procedure that predicts assignment to the Russell 1000/2000 with significant improvements relative to previous approaches. We apply this methodology to extend the tests in Ben-David, Franzoni, and Moussawi (2018)

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Year of publication:	2019
Authors:	Ben-David, Itzhak ; Franzoni, Francesco ; Moussawi, Rabih
Publisher:	Geneva : Swiss Finance Institute
Subject:	Russell \| institutional investors \| ETFs \| volatility \| Institutioneller Investor \| Institutional investor \| Aktienindex \| Stock index \| Volatilität \| Volatility \| Kapitalmarkttheorie \| Financial economics \| Portfolio-Management \| Portfolio selection \| Investmentfonds \| Investment Fund