We compare the Standard Industry Classification (SIC), the North American Industry Classification System (NAICS) and the Global Industry Classification Standard (GICS) schemes in their effectiveness to group stocks with similar operating characteristics. We are the first to analyse and compare...

We compare different industry concentration ratios based on the Standard Industry Classification (SIC) system to ratios based on the Global Industry Classification Standard (GICS) system and demonstrate through the analysis of industry markups that GICS-based measures are better proxies for the...

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...

This study compares the properties of the Global Industry Classification Standard (GICS) with three alternatives: Standard Industrial Classification, North American Industry Classification System, and Fama–French classification. First, we demonstrate that GICS results in more reliable industry...

Most evidence regarding the determinants and effects of corporate governance practices is based on large firms. Herein, we explore these issues in the context of small publicly traded Canadian companies. We exploit the fact that such firms were not subject to corporate governance guidelines...

Chordia, Roll and Subrahmanyam (2005, CRS) estimate the speed of convergence to market efficiency based on short-horizon return predictability of the 150 largest NYSE firms. We extend CRS to a broad panel of NYSE stocks and are the first to examine the relation between electronic communication...