Kappou, Konstantina; Brooks, Chris; Ward, Charles - In: Journal of Banking & Finance 34 (2010) 1, pp. 116-126
This study focuses on S&P500 inclusions and deletions, examining the impact of potential overnight price adjustment after the announcement of an S&P500 index change. We find evidence of a significant overnight price change that diminishes the returns available to speculators although there are...