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An improved method to predict assignment of stocks into Russell Indexes
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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]
|
| 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 |
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| 245 | 1 | 3 | |a An improved method to predict assignment of stocks into Russell Indexes |c 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) |
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| 520 | |a 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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| 950 | |a Asset pricing model | ||
| 950 | |a Kapitalmarktmodell | ||
| 950 | |a Theorie des Kapitalmarktgleichgewichts | ||
| 950 | |a Finanzmarkt | ||
| 950 | |a Finanzmarktökonometrie | ||
| 950 | |a Ökonophysik | ||
| 950 | |a Portfolio-Management | ||
| 950 | |a Volkswirtschaftliche Investitionstheorie | ||
| 950 | |a Anlageverhalten | ||
| 950 | |a Arbitrage Pricing | ||
| 950 | |a CAPM | ||
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| 950 | |a Finanzmarkttheorie des Wechselkurses | ||
| 950 | |a Marktmikrostruktur | ||
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| author | Ben-David, Itzhak, Franzoni, Francesco, Moussawi, Rabih |
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| contents | 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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| spelling | Ben-David, Itzhak VerfasserIn (DE-588)135853834 (DE-627)572258933 (DE-576)300682506 aut, 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), [Columbus, Ohio] The Ohio State University, Fisher College of Business, Charles A. Dice Center for Research in Financial Economics [2019], 1 Online-Ressource (circa 42 Seiten) Illustrationen, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Working papers series / Charles A. Dice Center for Research in Financial Economics WP 2019, 24, Charles A. Dice Center Working Paper No. 2019-24, Fisher College of Business working paper series WP 2019-03, 024, 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), 1.1\x Aktienindex (DE-627)091346304 (DE-2867)13712-0 stw, 1.2\x Kapitalmarkttheorie (DE-627)091370094 (DE-2867)12210-1 stw, Franzoni, Francesco 1975- VerfasserIn (DE-588)102109028X (DE-627)689208332 (DE-576)362525617 aut, Moussawi, Rabih VerfasserIn aut, Ohio State University Fisher College of Business Fisher College of Business working paper series WP 2019, 24 2019,24 (DE-627)488012465 (DE-576)281277184 (DE-600)2189279-9, Ohio State University Fisher College of Business Fisher College of Business working paper series WP 2019-03, 024 2019,3,24 (DE-627)559428006 (DE-576)281379912 (DE-600)2412551-9, https://doi.org/10.2139/ssrn.3465790 X:ELVSSRN Resolving-System kostenfrei, https://ssrn.com/abstract=3465790 X:ELVSSRN Verlag kostenfrei, https://doi.org/10.2139/ssrn.3465790 LFER, LFER 2019-12-05T00:00:00Z |
| spellingShingle | Ben-David, Itzhak, Franzoni, Francesco, Moussawi, Rabih, An improved method to predict assignment of stocks into Russell Indexes, Ohio State University, Fisher College of Business, Fisher College of Business working paper series, WP 2019, 24, Ohio State University, Fisher College of Business, Fisher College of Business working paper series, WP 2019-03, 024, 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), Aktienindex, Kapitalmarkttheorie |
| title | An improved method to predict assignment of stocks into Russell Indexes |
| title_auth | An improved method to predict assignment of stocks into Russell Indexes |
| title_full | 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) |
| title_fullStr | 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) |
| title_full_unstemmed | 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) |
| title_in_hierarchy | WP 2019, 24. An improved method to predict assignment of stocks into Russell Indexes ([2019]), WP 2019-03, 024. An improved method to predict assignment of stocks into Russell Indexes ([2019]) |
| title_short | An improved method to predict assignment of stocks into Russell Indexes |
| title_sort | improved method to predict assignment of stocks into russell indexes |
| topic | Aktienindex, Kapitalmarkttheorie |
| topic_facet | Aktienindex, Kapitalmarkttheorie |
| url | https://doi.org/10.2139/ssrn.3465790, https://ssrn.com/abstract=3465790 |