The S&P 500 Index Effect in Continuous Time: Evidence from Overnight, Intraday and Tick-by-Tick Stock Price Performance

The advent of index tracking early in the 1970s and the continuous growth of assets tied to the S&P 500 index have enforced perceptions of the importance of becoming an index-member, due to increased demand by index fund participants for the stocks involved in index composition changes. This study focuses on S&P 500 inclusions and examines the impact of potential overnight price adjustment after the announcement of an S&P 500 index change. We find evidence of a significant overnight price change that diminishes the profits available to speculators although there are still profits available from the first day after announcement until a few days after the actual event. More importantly observing the tick-by-tick stock price performance of the key days of the event window for the first time, we find evidence of consistent trading patterns during trading hours over inclusion event. A separate analysis of two different sub-periods as well as of NASDAQ and NYSE listed stocks allows for a detailed examination of the price and volume effect in continuous time.Index effect, S&P 500, market efficiency, price pressure

Gambling on the S&P 500's Gold Seal: New Evidence on the Index Effect

This study examines the abnormal returns, trading activity and long term performance of stocks that were added to the S&P 500 Index during the period 1990 to 2002. By using a three-factor pricing model that allows for firm size and value characteristics as well as market risk, we are able to shed new light on the widely observed ‘index effect’. We argue that for the years 1990-1997 in particular, firm size mattered in the long-run and firm size effects cannot be captured by a single factor model for abnormal returns. We also find a transitory increase in trading volume between the announcement and a few days after the effective date. The “seal” of S&P 500 Index membership has very long term effects and inclusion is not an information-free event.Index effect, S&P 500, market efficiency, price pressure, three-factor model

Precision Electro-Weak and Hadronic Luminosity Calculations

We have used YFS Monte Carlo techniques to obtain per-mil level accuracy for the Bhabha scattering cross section used in the luminosity monitor in electro-weak scattering experiments. We will describe techniques for extending these methods for use in the W production luminosity cross section for hadron colliders.Comment: 8 pages (LaTex) with 5 figures (EPS). Presented by S.A. Yost at the Third International Symposium on Quantum Theory and Symmetries, Cincinnati, Sept. 10 - 14, 200