131
Views
2
CrossRef citations to date
0
Altmetric
Original Articles

Impact of bond index revisions

&
Pages 693-702 | Published online: 07 Apr 2009

References

  • Ayadi , M and Kryzanowski , L . 2005 . A stochastic discount factor-based approach for fixed-income mutual fund performance evaluation in Numerical Methods in Finance, Chapter 10 (Eds) M. Breton and H. Ben-Ameur, Science + Business Media, Inc., Springer, New York, pp. 193–226
  • Bansal , R , Dittmar , R and Lundblad , C . 2005 . Consumption, dividends, and the cross section of equity returns . Journal of Finance , 60 : 1639 – 72 .
  • Beneish , M and Whaley , R . 1996 . The anatomy of the ‘S&P game’: the effects of changing rules . Journal of Finance , 51 : 1909 – 30 .
  • Beneish , M and Whaley , R . 2002 . S&P500 index replacements, a new game in town . Journal of Portfolio Management , 28 : 51 – 60 .
  • Blake , CR , Elton , EJ and Gruber , MJ . 1993 . The performance of bond mutual funds . Journal of Business , 66 : 371 – 403 .
  • Blume , ME , Keim , DB and Patel , SA . 1991 . Returns and volatility of low-grade bonds: 1977–1989 . Journal of Finance , 46 : 49 – 74 .
  • Brennan , MJ and Schwartz , ES . 1982 . An equilibrium model of bond pricing and a test of market efficiency . Journal of Financial and Quantitative Analysis , 62 : 301 – 29 .
  • Campbell , J and Shiller , R . 1988 . The dividend-price ratio and expectations of future dividends and discount factors . Review of Financial Studies , 1 : 195 – 228 .
  • Chen , H , Noronha , G and Singal , V . 2004 . The price response to S&P500 index additions and deletions: evidence of asymmetry and a new explanation . Journal of Finance , 59 : 1901 – 29 .
  • Chung , R and Kryzanowski , L . 1998 . Are the market effects associated with revision of TSE 300 index robust? . Multinational Finance Journal , 2 : 1 – 36 .
  • Cornell , B and Green , K . 1991 . The investment performance of low-grade bond funds . Journal of Finance , 46 : 29 – 48 .
  • Dhillon , U and Johnson , H . 1991 . Changes in the S&P500 list . Journal of Business , 64 : 75 – 85 .
  • Elton , EJ , Gruber , MJ and Blake , CR . 1995 . Fundamental economic variables, expected returns, and bond fund performance . Journal of Finance , 50 : 1229 – 56 .
  • Elton , EJ , Gruber , MJ and Nabar , P . 1988 . Bond returns, immunization, and the return generating process . Studies in Banking and Finance , 5 : 125 – 54 .
  • Fama , EF and French , KR . 1993 . Common risk factors in the returns on stocks and bonds . Journal of Financial Economics , 33 : 3 – 56 .
  • Ferson , W and Schadt , R . 1996 . Measuring fund strategy and performance in changing economic conditions . Journal of Finance , 51 : 425 – 62 .
  • Goetzmann , W and Gary , M . 1986 . Does delisting from the S&P500 affect stock price? . Financial Analysts Journal , 42 : 64 – 9 .
  • Gultekin , NB and Rogalski , RJ . 1985 . Government bond returns, measurement of interest rate risk and the arbitrage pricing theory . Journal of Finance , 40 : 43 – 61 .
  • Harris , L and Gurel , E . 1986 . Price and volume effects associated with changes in the S&P500 list: new evidence for the existence of price pressures . Journal of Finance , 41 : 815 – 29 .
  • Jain , P . 1987 . The effect on stock price of inclusion or exclusion from the S&P500 . Financial Analysts Journal , 43 : 58 – 65 .
  • Karafiath , I . 1988 . Using dummy variables in the event methodology . The Financial Review , 23 : 351 – 7 .
  • Longstaff , F and Schwartz , ES . 1992 . Interest rate volatility and the term structure: a two factor general equilibrium model . Journal of Finance , 47 : 1259 – 82 .
  • Lynch , A and Mendenhall , R . 1997 . New evidence on stock price effects associated with changes in the S&P500 . Journal of Business , 70 : 351 – 84 .
  • Pennacchi , G . 1991 . Identifying the dynamics of real interest rates and inflation: evidence using survey data . Review of Financial Studies , 4 : 53 – 86 .
  • Pruitt , S and Wei , K . 1989 . Institutional ownership and changes in the S&P500 . Journal of Finance , 44 : 509 – 13 .
  • Schleifer , A . 1986 . Do demand curves for stocks slope down? . Journal of Finance , 41 : 579 – 90 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.