{"id":"https://openalex.org/W2147335100","doi":null,"title":"New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index","display_name":"New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index","publication_year":1996,"publication_date":"1996-06-01","ids":{"openalex":"https://openalex.org/W2147335100","mag":"2147335100"},"language":"en","primary_location":{"id":"mag:2147335100","doi":null,"is_oa":true,"landing_page_url":"https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=6851","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},"volume":null,"type":"preprint","indexed_in":[],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=6851","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5103260742","display_name":"Anthony W. Lynch","orcid":"https://orcid.org/0000-0002-5266-009X","observed_orcids":["https://orcid.org/0000-0002-5266-009X"]},"institutions":[{"id":"https://openalex.org/I1321305853","display_name":"National Bureau of Economic Research","ror":"https://ror.org/04grmx538","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I1321305853"]},{"id":"https://openalex.org/I57206974","display_name":"New York University","ror":"https://ror.org/0190ak572","country_code":"US","type":"education","lineage":["https://openalex.org/I57206974"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Anthony W. Lynch","raw_affiliation_strings":["New York University (NYU) - Department of Finance","National Bureau of Economic Research (NBER)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"New York University (NYU) - Department of Finance","institution_ids":["https://openalex.org/I57206974"]},{"raw_affiliation_string":"National Bureau of Economic Research (NBER)","institution_ids":["https://openalex.org/I1321305853"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5088059808","display_name":"Richard R. Mendenhall","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I107639228","display_name":"University of Notre Dame","ror":"https://ror.org/00mkhxb43","country_code":"US","type":"education","lineage":["https://openalex.org/I107639228"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Richard R. Mendenhall","raw_affiliation_strings":["University of Notre Dame - Department of Finance"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Notre Dame - Department of Finance","institution_ids":["https://openalex.org/I107639228"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":149,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10019","display_name":"Corporate Finance and Governance","score":0.0,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12123","display_name":"Financial Analysis and Corporate Governance","score":0.0,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stock-price-reaction","display_name":"stock price reaction","score":0.593999981880188},{"id":"https://openalex.org/keywords/market-efficiency","display_name":"market efficiency","score":0.8379999995231628},{"id":"https://openalex.org/keywords/index-additions-and-deletions","display_name":"index additions and deletions","score":0.6439999938011169}],"concepts":[{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.7078925967216492},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.7066623568534851},{"id":"https://openalex.org/C6243943","wikidata":"https://www.wikidata.org/wiki/Q1195348","display_name":"Index fund","level":5,"score":0.6082534790039062},{"id":"https://openalex.org/C192737826","wikidata":"https://www.wikidata.org/wiki/Q5035802","display_name":"Capitalization-weighted index","level":5,"score":0.5692059397697449},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.5563661456108093},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5434058904647827},{"id":"https://openalex.org/C2985330422","wikidata":"https://www.wikidata.org/wiki/Q724931","display_name":"Market efficiency","level":2,"score":0.5213709473609924},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5115678906440735},{"id":"https://openalex.org/C88389905","wikidata":"https://www.wikidata.org/wiki/Q223371","display_name":"Stock market index","level":4,"score":0.4939301609992981},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.49301502108573914},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4878723621368408},{"id":"https://openalex.org/C183356978","wikidata":"https://www.wikidata.org/wiki/Q1779213","display_name":"Tracking error","level":3,"score":0.43014854192733765},{"id":"https://openalex.org/C206757995","wikidata":"https://www.wikidata.org/wiki/Q1665188","display_name":"Institutional investor","level":3,"score":0.18370643258094788},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.13446342945098877},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.06470775604248047},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.0},{"id":"https://openalex.org/C2775924081","wikidata":"https://www.wikidata.org/wiki/Q55608371","display_name":"Control (management)","level":2,"score":0.0},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.0},{"id":"https://openalex.org/C155301685","wikidata":"https://www.wikidata.org/wiki/Q493177","display_name":"Open-end fund","level":4,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C39389867","wikidata":"https://www.wikidata.org/wiki/Q380767","display_name":"Corporate governance","level":2,"score":0.0},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"mag:2147335100","doi":null,"is_oa":true,"landing_page_url":"https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=6851","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null}],"best_oa_location":{"id":"mag:2147335100","doi":null,"is_oa":true,"landing_page_url":"https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=6851","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"id":"https://metadata.un.org/sdg/1","score":0.4099999964237213,"display_name":"No poverty"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":18,"referenced_works":["https://openalex.org/W777438934","https://openalex.org/W1963864721","https://openalex.org/W1974506353","https://openalex.org/W1992897607","https://openalex.org/W1993091307","https://openalex.org/W2014256903","https://openalex.org/W2033308164","https://openalex.org/W2058740981","https://openalex.org/W2062122835","https://openalex.org/W2071511656","https://openalex.org/W2087964979","https://openalex.org/W2116988722","https://openalex.org/W2128778916","https://openalex.org/W2131773668","https://openalex.org/W2136500787","https://openalex.org/W2157591402","https://openalex.org/W2168038988","https://openalex.org/W2325343629"],"related_works":["https://openalex.org/W7130667175","https://openalex.org/W2184137344","https://openalex.org/W2126474906","https://openalex.org/W7111969106","https://openalex.org/W7096301565","https://openalex.org/W1577120827","https://openalex.org/W6995792145","https://openalex.org/W2619960123","https://openalex.org/W2255231249","https://openalex.org/W2255140199"],"abstract_inverted_index":{"Since":[0],"October":[1],"1989,":[2],"Standard":[3],"and":[4,87,94],"Poor":[5],"s":[6],"has":[7],"(when":[8],"possible)":[9],"announced":[10],"changes":[11,37],"in":[12,22,53],"the":[13,16,46,54,81],"composition":[14,36],"of":[15,83,98],"S&P":[17,28],"500":[18,29],"index":[19,25,35],"one":[20],"week":[21],"advance.":[23],"Because":[24],"funds":[26],"hold":[27],"stocks":[30,93],"to":[31,44,49],"minimize":[32],"tracking":[33],"error,":[34],"since":[38],"this":[39],"date":[40],"provide":[41],"an":[42,50],"opportunity":[43],"examine":[45],"market":[47,99],"reaction":[48],"anticipated":[51],"change":[52],"demand":[55,90],"for":[56,92],"a":[57,96],"stock.":[58],"Using":[59],"post-October-1989":[60],"data,":[61],"we":[62],"document":[63],"significantly":[64],"positive":[65],"(negative)":[66],"post-announcement":[67],"abnormal":[68],"returns":[69],"that":[70],"are":[71],"only":[72],"partially":[73],"reversed":[74],"following":[75],"additions":[76],"(deletions).":[77],"These":[78],"results":[79],"indicate":[80],"existence":[82],"temporary":[84],"price":[85],"pressure":[86],"downward-sloping":[88],"log-run":[89],"curves":[91],"represent":[95],"violation":[97],"efficiency.":[100]},"counts_by_year":[{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":7},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":12},{"year":2012,"cited_by_count":11}],"updated_date":"2026-10-28T10:33:24.094632","created_date":"2016-06-24T00:00:00"}