Search Results - subject:"Beta changes"

Analysis of Firm Risk around S&P 500 Index Changes

Ivanov, Stoyu I. - In: Economics Bulletin 32 (2012) 2, pp. 1576-1589

In this study we extend the work of Vijh (1994), Barberis, Shleifer, and Wurgler (2005), Denis, McConnell, Ovtchinnikov and Yu (2003) and Geppert, Ivanov and Karels (2011) by examining the effects of the addition to or deletion from the S&P 500 index on the firm's Fama - French four factor model...

Persistent link: https://www.econbiz.de/10011278559

An examination of the information content of S&P 500 index changes : Analysis of systematic risk

Geppert, John M.; Ivanov, Stoyu I.; Karels, Gordon V. - In: Review of Accounting and Finance 10 (2011) 4, pp. 411-426

Purpose – The purpose of this paper is to examine the shocks to firm's beta around the event of addition or deletion from the S&P 500 index. Design/methodology/approach – The total derivative of beta and Campbell and Vuolteenaho decomposition of beta methodologies are used, on monthly and...

Persistent link: https://www.econbiz.de/10014989629

An analysis of the importance of S&P 500 discretionary constituent changes

Geppert, John; Ivanov, Stoyu; Karels, Gordon - In: Review of Quantitative Finance and Accounting 37 (2011) 1, pp. 21-34

Persistent link: https://www.econbiz.de/10009150106

An examination of the information content of S&P 500 index changes: Analysis of systematic risk

Geppert, John M.; Ivanov, Stoyu I.; Karels, Gordon V. - In: Review of Accounting and Finance 10 (2011) November, pp. 411-426

Persistent link: https://www.econbiz.de/10009367090

An analysis of the importance of S&P 500 discretionary constituent changes

Geppert, John M.; Ivanov, Stoyu I.; Karels, Gordon V. - In: Review of quantitative finance and accounting 37 (2011) 1, pp. 21-34

Persistent link: https://www.econbiz.de/10009270680