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New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index

Lynch, Anthony W. - 2008

Since October 1989, Standard and Poor's has (when possible) announced changes in the composition of the Samp;P 500 index one week in advance. Because index funds hold Samp;P 500 stocks to minimize tracking error, index composition changes since this date provide an opportunity to examine the...

Persistent link: https://www.econbiz.de/10012775145

New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index

Lynch, Anthony W. - 2008

Since October 1989, Standard and Poor's has (when possible) announced changes in the composition of the Samp;P 500 index one week in advance, rather than on the change day as was their previous policy. To minimize their tracking error, index funds buy stocks added to the Samp;P 500 index and...

Persistent link: https://www.econbiz.de/10012775230

Decision frequency and synchronization across agents : implications for aggregate consumption and equity return

Lynch, Anthony W. - In: The journal of finance : the journal of the American … 51 (1996) 4, pp. 1479-1497

Persistent link: https://www.econbiz.de/10001209019

Portfolio choice and equity characteristics : characterizing the hedging demands induced by return predictability

Lynch, Anthony W. - In: Journal of financial economics 62 (2001) 1, pp. 67-130

Persistent link: https://www.econbiz.de/10001608813

Survivorship bias and attrition effects in measures of performance persistence

Carpenter, Jennifer N.; Lynch, Anthony W. - In: Journal of financial economics 54 (1999) 3, pp. 337-374

Persistent link: https://www.econbiz.de/10001429023

Staggered decision-making by individuals : pricing implications and some empirical evidence

Lynch, Anthony W. - 1994

Persistent link: https://www.econbiz.de/10000916219

Transaction costs and predictability : some utility cost calculations

Balduzzi, Pierluigi; Lynch, Anthony W. - In: Journal of financial economics 52 (1999) 1, pp. 47-78

Persistent link: https://www.econbiz.de/10001387776

Why do firms merge and then divest? : A theory of financial synergy

Fluck, Zsuzsanna; Lynch, Anthony W. - In: The journal of business : B 72 (1999) 3, pp. 319-346

Persistent link: https://www.econbiz.de/10001392398

Intra-week regularities in security returns : further Australian evidence

Finn, Frank J. - In: Australian journal of management 16 (1991) 2, pp. 129-144

Persistent link: https://www.econbiz.de/10001122569

Behaviour of CAPM anomalies in smaller firms : Australian evidence

Anderson, Don - In: Australian journal of management 15 (1990) 1, pp. 1-38

Persistent link: https://www.econbiz.de/10001119099

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