This study finds that first-time additions to the S&P 500 Index or its family experience permanent price increases; however, companies upgraded from lesser-known S&P indices, reentering the S&P 500, or dropped from the index experience temporary price changes. These price patterns can be...

Jump dynamics vary greatly across stocks. However, little is known about the causes of such variations and their associations to various firm characteristics. Controlling for information shocks from quarterly earnings announcements, we examine cross-sectional determinants of jumps in stock...