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Financial Analysts Journal Volume 59, 2003 - Issue 4
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EQUITY INVESTMENTS

The Russell Reconstitution Effect

Ananth Madhavan Ananth Madhavan is managing director at ITG Inc., New York City.
Pages 51-64 | Published online: 02 Jan 2019

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Malika Chaudhuri, Ranadeb Chaudhuri, Jay Janney & Mohinder Parkash. (2022) Things often get worse before they get better: using contest theory to explain the effect of informational risk around inclusion in S&P 500 on cost of capital. The European Journal of Finance 28:8, pages 848-869.
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Kenechukwu Anadu, Mathias Kruttli, Patrick McCabe & Emilio Osambela. (2020) The Shift from Active to Passive Investing: Risks to Financial Stability?. Financial Analysts Journal 76:4, pages 23-39.
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Terence C. Burnham, Harry Gakidis & Jeffrey Wurgler. (2018) Investing in the Presence of Massive Flows: The Case of MSCI Country Reclassifications. Financial Analysts Journal 74:1, pages 77-87.
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Bruce I. Jacobs & Kenneth N. Levy. (2014) Investing in a Multidimensional Market. Financial Analysts Journal 70:6, pages 6-12.
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Petya Platikanova. (2008) Long-Term Price Effect of S&P 500 Addition and Earnings Quality. Financial Analysts Journal 64:5, pages 62-76.
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Jie Cai & Todd Houge, CFA. (2008) Long-Term Impact of Russell 2000 Index Rebalancing. Financial Analysts Journal 64:4, pages 76-91.
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Kevin C. H. Chiang, Kirill Kozhevnikov & Craig H. Wisen. (2007) Nonfundamentals and value returns. Applied Financial Economics 17:13, pages 1075-1083.
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Bryan Mase. (2006) Investor awareness and the long-term impact of FTSE 100 index redefinitions. Applied Financial Economics 16:15, pages 1113-1118.
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Honghui Chen, Gregory Noronha & Vijay Singal. (2006) Index Changes and Losses to Index Fund Investors. Financial Analysts Journal 62:4, pages 31-47.
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