Purpose -Using S&P 500 additions, the purpose of this paper is to test the permanence of abnormal returns around the index inclusion announcement and effective implementation dates to differentiate among competing explanations for the index inclusion premia puzzle. Design/methodology/approach...

Purpose -Many papers have argued that there are long-run downward-sloping demand curves (LRDDC) for stocks. The purpose of this paper is to analyze this hypothesis using a new, unique, and ostensibly information-free event: the re-weighting of the Standard & Poor (S&P) 500 index from market...

Purpose – Using S&P 500 additions, the purpose of this paper is to test the permanence of abnormal returns around the index inclusion announcement and effective implementation dates to differentiate among competing explanations for the index inclusion premia puzzle. Design/methodology/approach...

Purpose – Many papers have argued that there are long‐run downward‐sloping demand curves (LRDDC) for stocks. The purpose of this paper is to analyze this hypothesis using a new, unique, and ostensibly information‐free event: the re‐weighting of the Standard & Poor (S&P) 500 index from...

Purpose – The purpose of this paper is to directly examine the information hypothesis of S&P 500 index inclusion announcements by investigating the degree to which information beyond Standard & Poor's eight stated criteria enters the inclusion decision. Design/methodology/approach –...

Purpose – The aim of this paper is to examine the informational efficiency of prices of all exchange traded funds (ETFs) that are actively traded on the NYSE Arca, based on methodology developed by Chordia et al. Design/methodology/approach – The authors estimate the speed of convergence to...

Purpose – The purpose of this paper is to directly examine the information hypothesis of S&P 500 index inclusion announcements by investigating the degree to which information beyond Standard & Poor's eight stated criteria enters the inclusion decision. Design/methodology/approach –...

Purpose – The aim of this paper is to examine the informational efficiency of prices of all exchange traded funds (ETFs) that are actively traded on the NYSE Arca, based on methodology developed by Chordia et al. Design/methodology/approach – The authors estimate the speed of convergence to...