Market Reactions to Changes in the S&P 500 Index: An Industry Analysis

Authors

James Malic '06, Illinois Wesleyan University

Abstract

This paper observes the abnormal returns relative to the market’s returns for additions to and deletions from the S&P 500 index from 2000-2003. More importantly, I categorize additions and deletions by industries in order to see if any particular industry in the index has greater returns than others around change dates. The knowledge of how stocks in a particular industry react after an announcement may lead investors to favor some industries more than others when investing around a date of change to the S&P 500 index.

Recommended Citation

Malic '06, James (2006) "Market Reactions to Changes in the S&P 500 Index: An Industry Analysis," The Park Place Economist: Vol. 14
Available at: https://digitalcommons.iwu.edu/parkplace/vol14/iss1/17