Purpose – Prior research on additions to the S & P 500 and the smaller MidCap 400 and SmallCap 600 indexes reach different conclusions regarding the key variables that explain the cross-section of announcement period abnormal returns. Most notable in this regard is that liquidity measures,...

Purpose – The purpose of this paper is to examine intra‐industry contagion and the following apparent violations of the efficient market hypothesis around large one‐day price decline events in individual stocks. Design/methodology/approach – The paper examines daily stock returns around...

Purpose – The purpose of this paper is to examine intra-industry contagion and the following apparent violations of the efficient market hypothesis around large one-day price decline events in individual stocks. Design/methodology/approach – The paper examines daily stock returns around...