S&P 500 Index reconstitutions and information asymmetry

@inproceedings{Baran2014SP5I,
  title={S&P 500 Index reconstitutions and information asymmetry},
  author={Lindsay Catherine Baran and Tao-Hsien Dolly King},
  year={2014}
}
We examine the changes in information asymmetry around Standard and Poors (S&P) 500 Index additions and deletions as a possible explanation for the stock price reaction to index revision events. Using an array of information asymmetry measures to represent the complex information environment of corporations, we find a significant decrease in information asymmetry following index inclusions but show that the drop provides limited explanatory power for the announcement return. On the other hand… CONTINUE READING