Search Results - subject:"Index rebalancing"

Negative returns on addition to the S&P 500 index and positive returns on deletion? : new evidence on the attractiveness of S&P 500 versus S&P 400 indexes

Vijh, Anand M.; Wang, Jiawei - In: Financial management : FM 51 (2022) 4, pp. 1127-1164

Persistent link: https://www.econbiz.de/10013468500

Forecasting index changes in the German DAX family

Franz, Friedrich-Carl - In: Journal of Asset Management 21 (2020) 2, pp. 135-153

Combining market data with a publicly available monthly snapshot of Deutsche Börse’s index ranking list, I create a model that predicts index changes in the DAX, MDAX, SDAX, and TecDAX from 2010 to 2019 before they are officially announced. Even though I empirically show that index changes...

Persistent link: https://www.econbiz.de/10014503901