The Russell 1000 and 2000 stock indices comprise the first 1000 and next 2000 largest firms ranked by market capitalization. Small changes in the capitalizations of firms ranked near 1000 move them between these indices. Because the indices are value-weighted, more money tracks the largest...

Studies find price increases for additions to the S&P 500 index but no decreases for deletions. Additions come with good earnings news, suggesting these studies are not just measuring an indexing effect. We develop a regression discontinuity design using Russell Indices for cleaner...

Eine Methode, um das systematische und unsystematische Risiko sowie den Einfluss externer Einflussfaktoren auf Aktienrenditen zu bestimmen, ist die Zerlegung der Varianz von Aktienrenditen. Allerdings waren die bisher angewendeten Methoden der Varianzzerlegung nur unzureichend dazu geeignet,...

Analyst recommendations are one of the types of information whose appearance on the market can have an influence on security prices. In this paper, I study the impact of analyst recommendations on stocks listed on the WIG20 Index, using event-study methodology and linear regression models. The...