Business Commons^™

What Happens When A Stock Is Added To The Nasdaq-100 Index? What Doesn’T Happen?, Susana Yu, Gwendolyn Webb, Kishore Tandon

Department of Accounting and Finance Faculty Scholarship and Creative Works

Purpose – Prior research on additions to the S&P 500 and the smaller MidCap 400 and SmallCap 600 indexes reach different conclusions regarding the key variables that explain the cross-section of announcement period abnormal returns. Most notable in this regard is that liquidity measures, long thought to be of importance, do not appear to explain abnormal returns of the S&P 500 when other factors are controlled for. By contrast, they do appear to matter for additions to the smaller stock indexes. To explore this difference, the purpose of this paper is to analyze the abnormal returns upon announcement that a …