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S&P 500 Trading Strategies and Stock Betas

Citations

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Cited by:

  1. Schnitzler, Jan, 2018. "S&P 500 inclusions and stock supply," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 341-356.
  2. Sing, Tien Foo & Wang, Long, 2021. "Spillovers of Non-Fundamental Risks: The Tale of Two Securitized Real Estate Markets," International Real Estate Review, Global Social Science Institute, vol. 24(2), pages 185-220.
  3. Srikanth Parthasarathy, 2010. "Price and Volume Effects Associated with Index Additions: Evidence from the Indian Stock Market," Asian Journal of Finance & Accounting, Macrothink Institute, vol. 2(2), pages 5580-5580, December.
  4. Kim, Min-Su & Kim, Woojin & Lee, Dong Wook, 2015. "Stock return commonality within business groups: Fundamentals or sentiment?," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 198-224.
  5. Keunbae Ahn, 2021. "Predictable Fluctuations in the Cross-Section and Time-Series of Asset Prices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2021, January-A.
  6. Masahiro Watanabe, 2002. "Price Volatility and Investor Behavior in an Overlapping Generations Model with Information Asymmetry," Yale School of Management Working Papers amz2636, Yale School of Management, revised 01 Jul 2002.
  7. Chen, Honghui & Singal, Vijay & Whitelaw, Robert F., 2016. "Comovement revisited," Journal of Financial Economics, Elsevier, vol. 121(3), pages 624-644.
  8. Osman, Khairul Nizam & Masih, Mansur, 2018. "Granger-causality of selective Dow Jones islamic and sustainability regional equity indices," MPRA Paper 104185, University Library of Munich, Germany.
  9. Tchai Tavor, 2014. "Abnormal investor response to the index effect for daily and intraday data," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(3), pages 281-303, August.
  10. Agyei-Ampomah, Sam & Mazouz, Khelifa, 2011. "The comovement of option listed stocks," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2056-2069, August.
  11. Anand M. Vijh & Jiawei (Brooke) Wang, 2022. "Negative returns on addition to the S&P 500 index and positive returns on deletion? New evidence on the attractiveness of S&P 500 versus S&P 400 indexes," Financial Management, Financial Management Association International, vol. 51(4), pages 1127-1164, December.
  12. Dekker, Lennart, 2024. "Essays on asset liquidity and investment funds," Other publications TiSEM 5fc9bf77-84e7-4a36-9e3a-1, Tilburg University, School of Economics and Management.
  13. Huaizhi Chen & Lauren Cohen & Umit G. Gurun, 2021. "Don't Take Their Word for It: The Misclassification of Bond Mutual Funds," Journal of Finance, American Finance Association, vol. 76(4), pages 1699-1730, August.
  14. Barberis, Nicholas & Shleifer, Andrei & Wurgler, Jeffrey, 2005. "Comovement," Journal of Financial Economics, Elsevier, vol. 75(2), pages 283-317, February.
  15. Ehrmann, Michael & Jansen, David-Jan, 2022. "Stock return comovement when investors are distracted: More, and more homogeneous," Journal of International Money and Finance, Elsevier, vol. 129(C).
  16. Jie Cai, 2007. "What's in the News? Information Content of S&P 500 Additions," Financial Management, Financial Management Association International, vol. 36(3), pages 113-124, September.
  17. Louis RAFFESTIN, 2016. "Do bond credit ratings lead to excess comovement," LEO Working Papers / DR LEO 2481, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  18. Gang Chu & John W. Goodell & Xiao Li & Yongjie Zhang, 2023. "Understanding short‐term price pressure from index reconstitutions: Evidence from the CSI 300," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(2), pages 2421-2440, June.
  19. Schürhoff, Norman & Chen, Zhihua & Lookman, Aziz & Seppi, Duane J, 2012. "Bond Ratings Matter: Evidence from the Lehman Brothers Index Rating Redefinition," CEPR Discussion Papers 9108, C.E.P.R. Discussion Papers.
  20. Brisker, Eric R. & Çolak, Gönül & Peterson, David R., 2013. "Changes in cash holdings around the S&P 500 additions," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1787-1807.
  21. Peltomäki, Jarkko, 2017. "Beta as a determinant of investor activity in sector exchange-traded funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 137-145.
  22. Li, Mingsheng & Zhao, Xin, 2016. "Neighborhood effect on stock price comovement," The North American Journal of Economics and Finance, Elsevier, vol. 35(C), pages 1-22.
  23. Bahcivan, Hulusi & Karahan, Cenk C., 2022. "High frequency correlation dynamics and day-of-the-week effect: A score-driven approach in an emerging market stock exchange," International Review of Financial Analysis, Elsevier, vol. 80(C).
  24. Liao, Yixin & Coakley, Jerry & Kellard, Neil, 2022. "Index tracking and beta arbitrage effects in comovement," International Review of Financial Analysis, Elsevier, vol. 83(C).
  25. Ashish Agarwal & Alvin Chung Man Leung & Prabhudev Konana & Alok Kumar, 2017. "Cosearch Attention and Stock Return Predictability in Supply Chains," Information Systems Research, INFORMS, vol. 28(2), pages 265-288, June.
  26. Raffestin, Louis, 2017. "Do bond credit ratings lead to excess comovement?," Journal of Banking & Finance, Elsevier, vol. 85(C), pages 41-55.
  27. Ken L. Bechmann, 2004. "Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index: The KFX Index," Multinational Finance Journal, Multinational Finance Journal, vol. 8(1-2), pages 3-34, March-Jun.
  28. Hui Hong & Zhicun Bian & Chien-Chiang Lee, 2021. "COVID-19 and instability of stock market performance: evidence from the U.S," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-18, December.
  29. Vo Hong Duc & Doan Bao Huy, 2014. "Should Vietnamese firm’s stocks be listed in a MSCI Global Equity index? Experience drawn from the sample of 30 countries," HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE - ECONOMICS AND BUSINESS ADMINISTRATION, HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE, HO CHI MINH CITY OPEN UNIVERSITY, vol. 4(1), pages 60-80.
  30. Ling Cen & Kalok Chan & Sudipto Dasgupta & Ning Gao, 2013. "When the Tail Wags the Dog: Industry Leaders, Limited Attention, and Spurious Cross-Industry Information Diffusion," Management Science, INFORMS, vol. 59(11), pages 2566-2585, November.
  31. Hsu, Ching-Chi & Chen, Miao-Ling, 2019. "Asymmetric effect of style comovement on momentum," Finance Research Letters, Elsevier, vol. 31(C), pages 146-154.
  32. Chelley-Steeley, Patricia & Lambertides, Neophytos & Savva, Christos S., 2015. "The effect of security and market order flow shocks on co-movement," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 136-155.
  33. Kenechukwu E. Anadu & Mathias S. Kruttli & Patrick E. McCabe & Emilio Osambela, 2018. "The Shift from Active to Passive Investing : Potential Risks to Financial Stability?," Finance and Economics Discussion Series 2018-060r1, Board of Governors of the Federal Reserve System (U.S.), revised 29 Jun 2020.
  34. Balli, Faruk & Chowdhury, Md Iftekhar Hasan & de Bruin, Anne, 2022. "Transition to Islamic equities: Systematic risk and Shari'ah compliance," Global Finance Journal, Elsevier, vol. 51(C).
  35. Afego, Pyemo N., 2017. "Effects of changes in stock index compositions: A literature survey," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 228-239.
  36. Chan, Kalok & Hameed, Allaudeen & Kang, Wenjin, 2013. "Stock price synchronicity and liquidity," Journal of Financial Markets, Elsevier, vol. 16(3), pages 414-438.
  37. repec:ibf:ijbfre:v:11:y:2017:i:2:p:39-56 is not listed on IDEAS
  38. Stoyu I. Ivanov, 2012. "Analysis of Firm Risk around S&P 500 Index Changes," Economics Bulletin, AccessEcon, vol. 32(2), pages 1576-1589.
  39. Khelifa Mazouz & Abdulkadir Mohamed & Brahim Saadouni, 2019. "Price Reaction of Ethically Screened Stocks: A Study of the Dow Jones Islamic Market World Index," Journal of Business Ethics, Springer, vol. 154(3), pages 683-699, February.
  40. Wahal, Sunil & Yavuz, M. Deniz, 2013. "Style investing, comovement and return predictability," Journal of Financial Economics, Elsevier, vol. 107(1), pages 136-154.
  41. Anup Agrawal & Mark A. Chen, 2008. "Do Analyst Conflicts Matter? Evidence from Stock Recommendations," Journal of Law and Economics, University of Chicago Press, vol. 51(3), pages 503-537, August.
  42. Masahiro Watanabe, 2002. "Price Volatility and Investor Behavior in an Overlapping Generations Model with Information Asymmetry," Yale School of Management Working Papers amz2636, Yale School of Management, revised 01 Jul 2002.
  43. D'Hondt, Catherine & Majois, Christophe & Mazza, Paolo, 2015. "Commonality on Euronext: Do location and account type matter?," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 183-198.
  44. Stoyu I. Ivanov, 2013. "Analysis of the Effects of Pre Announcement of S&P 500 Index Changes," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(5), pages 1-10.
  45. Zheng, Zunxin & Qiu, Zhongjie & Li, Mengjia & Ding, Wenjie, 2024. "High-speed rail and stock return comovement in China," Research in International Business and Finance, Elsevier, vol. 67(PA).
  46. Sühan Altay & Katia Colaneri & Zehra Eksi, 2021. "Optimal convergence trading with unobservable pricing errors," Annals of Operations Research, Springer, vol. 299(1), pages 133-161, April.
  47. Patton, Andrew J. & Verardo, Michela, 2009. "Does beta move with news? Systematic risk and firm-specific information flows," LSE Research Online Documents on Economics 24421, London School of Economics and Political Science, LSE Library.
  48. Chabakauri, Georgy & Rytchkov, Oleg, 2021. "Asset pricing with index investing," Journal of Financial Economics, Elsevier, vol. 141(1), pages 195-216.
  49. Chen, Huaizhi & Cohen, Lauren & Lou, Dong, 2016. "Industry window dressing," LSE Research Online Documents on Economics 70650, London School of Economics and Political Science, LSE Library.
  50. Seo, Sung Won & Lee, Jong Hwa, 2023. "Peer effect on dividends and return comovement," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
  51. Benjamin Blau & Todd Griffith & Ryan Whitby, 2020. "Comovement in the Cryptocurrency Market," Economics Bulletin, AccessEcon, vol. 40(1), pages 448-455.
  52. Lawrence Glosten & Suresh Nallareddy & Yuan Zou, 2021. "ETF Activity and Informational Efficiency of Underlying Securities," Management Science, INFORMS, vol. 67(1), pages 22-47, January.
  53. Terence C. Burnham & Harry Gakidis & Jeffrey Wurgler, 2017. "A Flexible and Customizable Method for Assessing Cognitive Abilities," Working Papers 17-10, Chapman University, Economic Science Institute.
  54. Suhan Altay & Katia Colaneri & Zehra Eksi, 2019. "Optimal Convergence Trading with Unobservable Pricing Errors," Papers 1910.01438, arXiv.org, revised Oct 2019.
  55. Chen, Huaizhi & Cohen, Lauren & Lou, Dong, 2013. "Industry window dressing," LSE Research Online Documents on Economics 119035, London School of Economics and Political Science, LSE Library.
  56. Chen, Dachuan & Mykland, Per A. & Zhang, Lan, 2024. "Realized regression with asynchronous and noisy high frequency and high dimensional data," Journal of Econometrics, Elsevier, vol. 239(2).
  57. Mohsni, Sana & Otchere, Isaac & Yamada, Kazuo, 2021. "Passive trading and firm performance: A quasi-natural experiment using the TSE-OSE merger in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
  58. Frijns, Bart & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2017. "Excess stock return comovements and the role of investor sentiment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 49(C), pages 74-87.
  59. Vayanos, Dimitri & Woolley, Paul, 2011. "Fund flows and asset prices: a baseline model," LSE Research Online Documents on Economics 29784, London School of Economics and Political Science, LSE Library.
  60. Honghui Chen & Vijay Singal & Robert F. Whitelaw, 2015. "Comovement Revisited," NBER Working Papers 21281, National Bureau of Economic Research, Inc.
  61. Cathcart, Lara & El-Jahel, Lina & Evans, Leo & Shi, Yining, 2019. "Excess comovement in credit default swap markets: Evidence from the CDX indices," Journal of Financial Markets, Elsevier, vol. 43(C), pages 96-120.
  62. Chun-An Li & Min-Ching Lee & Ju-Hua Liu, 2018. "Label Co-Movement: Component Stock Inclusion And Exclusion Between Different Exchange-Traded Funds," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 12(1), pages 39-56.
  63. Alvin Chung Man Leung & Ashish Agarwal & Prabhudev Konana & Alok Kumar, 2017. "Network Analysis of Search Dynamics: The Case of Stock Habitats," Management Science, INFORMS, vol. 63(8), pages 2667-2687, August.
  64. Chu, Gang & Goodell, John W. & Li, Xiao & Zhang, Yongjie, 2021. "Long-term impacts of index reconstitutions: Evidence from the CSI 300 additions and deletions," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).
  65. Terence C. Burnham & Harry Gakidis & Jeffrey Wurgler, 2017. "Investing in the Presence of Massive Flows: The Case of MSCI Country Reclassifications," NBER Working Papers 23557, National Bureau of Economic Research, Inc.
  66. Staer, Arsenio & Sottile, Pedro, 2018. "Equivalent volume and comovement," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 143-157.
  67. Xinyuan Tao & Chunchi Wu, 2021. "Rating labels and style investing: Evidence from Moody's rating recalibration," Financial Management, Financial Management Association International, vol. 50(4), pages 1047-1084, December.
  68. Barberis, Nicholas & Thaler, Richard, 2003. "A survey of behavioral finance," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 18, pages 1053-1128, Elsevier.
  69. Sina Ehsani & Donald Lien, 2015. "Effects of Passive Intensity on Aggregate Price Dynamics," The Financial Review, Eastern Finance Association, vol. 50(3), pages 363-391, August.
  70. Huaizhi Chen & Lauren Cohen & Umit Gurun, 2019. "Don’t Take Their Word For It: The Misclassification of Bond Mutual Funds," NBER Working Papers 26423, National Bureau of Economic Research, Inc.
  71. Grégoire, Vincent, 2020. "The rise of passive investing and index-linked comovement," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  72. Galvani, Valentina, 2022. "Country-Based Investing with Exchange Rate and Reserve Currency," Working Papers 2022-5, University of Alberta, Department of Economics.
  73. Chen, Haiwei & Ngo, Thanh, 2017. "Leverage-based index revisions: The case of Dow Jones Islamic Market World Index," Global Finance Journal, Elsevier, vol. 32(C), pages 16-34.
  74. Chabakauri, Georgy & Rytchkov, Oleg, 2014. "Asset pricing with index investing," LSE Research Online Documents on Economics 60739, London School of Economics and Political Science, LSE Library.
  75. Yun, Jooyoung & Kim, Tong S., 2010. "The effect of changes in index constitution: Evidence from the Korean stock market," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 258-269, September.
  76. Hirofumi Suzuki, 2015. "Comovement and index fund trading effect: evidence from Japanese stock market," Economics Bulletin, AccessEcon, vol. 35(2), pages 949-958.
  77. Kot, Hung Wan & Leung, Harry K.M. & Tang, Gordon Y.N., 2015. "The long-term performance of index additions and deletions: Evidence from the Hang Seng Index," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 407-420.
  78. John Geppert & Stoyu Ivanov & Gordon Karels, 2011. "An analysis of the importance of S&P 500 discretionary constituent changes," Review of Quantitative Finance and Accounting, Springer, vol. 37(1), pages 21-34, July.
  79. Mazouz, Khelifa & Mohamed, Abdulkadir & Saadouni, Brahim, 2016. "Stock return comovement around the Dow Jones Islamic Market World Index revisions," Journal of Economic Behavior & Organization, Elsevier, vol. 132(S), pages 50-62.
  80. Zhihua Chen & Aziz A. Lookman & Norman Schürhoff & Duane J. Seppi, 2014. "Rating-Based Investment Practices and Bond Market Segmentation," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 4(2), pages 162-205.
  81. Benjamin Bennett & René M. Stulz & Zexi Wang, 2020. "Does Joining the S&P 500 Index Hurt Firms?," NBER Working Papers 27593, National Bureau of Economic Research, Inc.
  82. Eshan Ahluwalia & Trilochan Tripathy & Ajay Kumar Mishra, 2023. "Measuring Volatility Persistence and Asymmetric Effects Around Index Rebalancing of Nifty Indices," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 15(5), pages 1-86, May.
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