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Financial Analysts Journal Volume 62, 2006 - Issue 4
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Portfolio Management

Index Changes and Losses to Index Fund Investors

Honghui Chen Honghui Chen is assistant professor of finance at the University of Central Florida, Orlando.
,
Gregory Noronha Gregory Noronha, CFA, is professor of finance at the Milgard School of Business at the University of Washington, Tacoma.
, CFA &
Vijay Singal Vijay Singal, CFA, is head of the Department of Finance and J. Gray Ferguson Professor of Finance at the Pamplin College of Business at Virginia Tech, Blacksburg.
, CFA
Pages 31-47 | Published online: 02 Jan 2019

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K.J. Martijn Cremers, Jon A. Fulkerson & Timothy B. Riley. (2019) Challenging the Conventional Wisdom on Active Management: A Review of the Past 20 Years of Academic Literature on Actively Managed Mutual Funds. Financial Analysts Journal 75:4, pages 8-35.
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Chan Wung Kim, Xiao Li & Timothy T. Perry. (2017) Adaptation of the S&P 500 Index Effect. The Journal of Index Investing 8:1, pages 29-36.
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Ascioglu Asli & Mcdermott John B. (2014) U.S. Small-Cap Indexes: An Empirical Analysis of Factor Exposure and Return . The Journal of Index Investing 5:3, pages 21-32.
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MICHAEL C. I. NWOGUGU. (2013) SUB-ADDITIVE RECURSIVE "MATCHING" NOISE AND BIASES IN RISK-WEIGHTED INDEX CALCULATION METHODS IN INCOMPLETE MARKETS WITH PARTIALLY OBSERVABLE MULTI-ATTRIBUTE PREFERENCES. Discrete Mathematics, Algorithms and Applications 05:03, pages 1350020.
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Lee M. Dunham & Thuy H. Simpson. (2012) The Impact of Securities Lending on Index Fund Performance. The Journal of Investing 21:2, pages 9-16.
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Lee M Dunham & Thuy H Simpson. (2012) The Impact of Securities Lending on Index Fund Performance. The Journal of Investing, pages 120504002300008.
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Rashiqa Kamal, Edward R. Lawrence, George McCabe & Arun J. Prakash. (2012) Additions to S&P 500 Index: not so informative any more. Managerial Finance 38:4, pages 380-402.
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John M. Geppert, Stoyu I. Ivanov & Gordon V. Karels. (2011) An examination of the information content of S&P 500 index changes. Review of Accounting and Finance 10:4, pages 411-426.
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John M. Geppert, Stoyu I. Ivanov & Gordon V. Karels. (2010) An analysis of the importance of S&P 500 discretionary constituent changes. Review of Quantitative Finance and Accounting 37:1, pages 21-34.
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Tanya Beder & Cara M. MarshallGary L. Gastineau & John F. Marshall. 2011. Financial Engineering. Financial Engineering 131 157 .
Antti Petajisto. (2011) The index premium and its hidden cost for index funds. Journal of Empirical Finance 18:2, pages 271-288.
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Lee M. Dunham & Thuy H. Simpson. (2010) Do Index Fund Managers Trade Opportunistically around Index Changes? An Empirical Examination of S&P 500 Index Funds . The Journal of Index Investing 1:3, pages 58-64.
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Jooyoung Yun & Tong S. Kim. (2010) The effect of changes in index constitution: Evidence from the Korean stock market. International Review of Financial Analysis 19:4, pages 258-269.
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Gary L. Gastineau. 2010. The Exchange‐Traded Funds Manual. The Exchange‐Traded Funds Manual 303 311 .
John M. Geppert, Stoyu I. Ivanov & Gordon V. Karels. (2010) Analysis of the probability of deletion of S&P 500 companies: Survival analysis and neural networks approach. The Quarterly Review of Economics and Finance 50:2, pages 191-201.
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John A. HaslemGary L. Gastineau. 2009. Mutual Funds. Mutual Funds 265 279 .
Gary L. Gastineau. (2008) The Cost of Trading Transparency: What We Know, What We Don’t Know, and How We Will Know . The Journal of Portfolio Management 35:1, pages 72-81.
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Gordon J. Alexander & Mark A. Peterson. (2008) The effect of price tests on trader behavior and market quality: An analysis of Reg SHO. Journal of Financial Markets 11:1, pages 84-111.
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Craig L Israelsen & Gary F Cogswell. (2007) The error of tracking error. Journal of Asset Management 7:6, pages 419-424.
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Zhan M. Onayev & Volodymyr M. Zdorovtsov. (2007) Russell Reconstitution Effect Revisited. SSRN Electronic Journal.
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Rob Bauer, Charlotte Christiansen & Trond Døskeland. (2022) A Review of the Active Management of Norway's Government Pension Fund Global. SSRN Electronic Journal.
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Olivier Arnaud Le Courtois & Xia Xu. (2020) Corporate Name Changes: The Case of M&As within the S&P 500 Index. SSRN Electronic Journal.
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Derin Yilmazatilla. (2020) Stoxx Europe Indices and Index Premium. SSRN Electronic Journal.
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Søren Bundgaard Brøgger. (2019) The Market Impact of Uninformed Flows: Evidence from the VIX Futures Market. SSRN Electronic Journal.
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K. J. Martijn Cremers, Jon A. Fulkerson & Timothy Brandon Riley. (2018) Challenging the Conventional Wisdom on Active Management: A Review of the Past 20 Years of Academic Literature on Actively Managed Mutual Funds. SSRN Electronic Journal.
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Linus Nilsson. (2018) Rush for Duration. SSRN Electronic Journal.
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Hendrik Bessembinder. (2014) Predictable ETF Order Flow and Market Quality. SSRN Electronic Journal.
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Craig E Miller & Mike Ward. (2014) The Market Impact on Shares Entering or Leaving JSE Indices. SSRN Electronic Journal.
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Darrin DeCosta, Fei Leng & Gregory Noronha. (2011) Minimum Maturity Rules: The Cost of Selling Bonds Before Their Time. SSRN Electronic Journal.
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Michael C. I. Nwogugu. (2012) A Critique of The VIX Index, CDs Indices, Options-Based Indices, and Synthetic ETFs/Funds. SSRN Electronic Journal.
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Michael C. I. Nwogugu. (2012) Recursive 'Matching' Noise and Biases in Traditional Index Calculation Methods in Incomplete Markets with Un-Aggregated Preferences. SSRN Electronic Journal.
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Antti Petajisto. (2008) Selection of an Optimal Index Rule for an Index Fund. SSRN Electronic Journal.
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Antti Petajisto. (2010) The Index Premium and its Hidden Cost for Index Funds. SSRN Electronic Journal.
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Martijn Cremers, Antti Petajisto & Eric Zitzewitz. (2010) Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation. SSRN Electronic Journal.
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