We show that the call-put implied volatility spread (IVS) outperforms many well-known predictors of the U.S. equity premium at return horizons up to six months over the period from 1996:1 to 2017:12. The predictive ability of the IVS is unrelated to the dividend yield and is useful in explaining...

I discuss three topics in this thesis. The first two concern topics centering on addition to the S&P 500 Index. In chapters two and three, I examine the price and liquidity effects (respectively) of additions to the S&P500 Index from January 1993 to December 2000. The results from chapter two...