Chen, Norohna, and Singal are from University of Central Florida, Arizona State University West, and Virginia Tech, respectively. We thank Greg Kadlec, Raman Kumar, Carole Gresse, and especially an anonymous referee and the editor, Rick Green, for comments. We are also grateful to seminar participants at Virginia Tech, Arizona State University West, Loyola College in Maryland, 2002 FMA meetings in San Antonio, 2002 EFA meetings in Berlin, University at Albany, University of Central Florida, University of South Florida, St. Petersburg, Saint Louis University, Drexel University, Penn State Great Valley, George Washington University, and the 2002 FMA International meetings in Copenhagen for comments. Singal acknowledges partial financial support from a Virginia Tech summer grant.
The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation
Version of Record online: 27 NOV 2005
© 2004 the American Finance Association
The Journal of Finance
Volume 59, Issue 4, pages 1901–1930, August 2004
How to Cite
Chen, H., Noronha, G. and Singal, V. (2004), The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation. The Journal of Finance, 59: 1901–1930. doi: 10.1111/j.1540-6261.2004.00683.x
- Issue online: 27 NOV 2005
- Version of Record online: 27 NOV 2005
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