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Institutional Ownership and Changes in the S&P 500

Authors

  • STEPHEN W. PRUITT,

  • K. C. JOHN WEI

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    • Both authors from Graduate School of Business, Indiana University. We would like to thank Sanjay Parekh and Matthew Wong of the University of Mississippi for data collection assistance. In addition, we are also grateful to Larry Harris (the referee) and René Stulz (the editor) for many helpful comments. As always, we alone are responsible for any remaining errors.


ABSTRACT

Several recent articles have provided new evidence for the existence of price pressures by examining the price and volume effects associated with changes in the S&P 500. The present study extends this work by examining actual changes in institutional holdings following both additions to and deletions from the S&P 500. The results show that changes in institutional holdings in response to additions or deletions from the S&P 500 are positively correlated. In addition to providing further evidence for the existence of price pressure effects, the results also provide evidence of the very large institutional elasticities of demand for stock.

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