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An improved method to predict assignment of stocks into Russell Indexes
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| Personen und Körperschaften: | , , |
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| Titel: | An improved method to predict assignment of stocks into Russell Indexes/ Itzhak Ben-David (The Ohio State University and NBER), Francesco Franzoni (USI Lugano, Swiss Finance Institute, and CEPR), Rabih Moussawi (Villanova University and WRDS, University of Pennsylvania) |
| Format: | E-Book |
| Sprache: | Englisch |
| veröffentlicht: |
[Columbus, Ohio]
The Ohio State University, Fisher College of Business, Charles A. Dice Center for Research in Financial Economics
[2019]
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| Gesamtaufnahme: |
Ohio State University: Fisher College of Business working paper series ; WP 2019, 24
Ohio State University: Fisher College of Business working paper series ; WP 2019-03, 024 |
| Schlagwörter: | |
| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Zusammenfassung: | A growing literature uses the Russell 1000/2000 reconstitution event as an identification strategy to investigate corporate finance and asset pricing questions. To implement this identification strategy, researchers need to approximate the ranking variable used to assign stocks to indexes. We develop a procedure that predicts assignment to the Russell 1000/2000 with significant improvements relative to previous approaches. We apply this methodology to extend the tests in Ben-David, Franzoni, and Moussawi (2018) |
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| Umfang: | 1 Online-Ressource (circa 42 Seiten); Illustrationen |
| DOI: | 10.2139/ssrn.3465790 |