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L. Harris, Eitan Gurel (1986)
Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price PressuresJournal of Finance, 41
Andrei Shleifer (1986)
Do Demand Curves for Stocks Slope DownJournal of Finance, 41
J. Woolridge, Chinmoy Ghosh (1986)
INSTITUTIONAL TRADING AND SECURITY PRICES: THE CASE OF CHANGES IN THE COMPOSITION OF THE S&P 500 INDEXJournal of Financial Research, 9
C. Lamoureux, James Wansley (1987)
MARKET EFFECTS OF CHANGES IN THE STANDARD & POOR'S 500 INDEXThe Financial Review, 22
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.
The Journal of Finance – Wiley
Published: Jun 1, 1989
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