The liquidity effects of revisions to the S&P 500 index: an empirical analysis
- 31 May 2003
- journal article
- Published by Elsevier in Journal of Financial Markets
- Vol. 6 (3) , 413-459
- https://doi.org/10.1016/s1386-4181(02)00046-0
Abstract
No abstract availableKeywords
This publication has 43 references indexed in Scilit:
- The Impact of Options Trading on the Market Quality of the Underlying Security: An Empirical AnalysisThe Journal of Finance, 1998
- What Do Stock Splits Really Signal?Journal of Financial and Quantitative Analysis, 1996
- Market microstructure and asset pricing: On the compensation for illiquidity in stock returnsJournal of Financial Economics, 1996
- Investment analysis and price formation in securities marketsJournal of Financial Economics, 1995
- Spreads, Depths, and the Impact of Earnings Information: An Intraday AnalysisThe Review of Financial Studies, 1993
- Estimating the components of the bid/ask spreadJournal of Financial Economics, 1988
- Liquidity and Asset Prices: Financial Management ImplicationsFinancial Management, 1988
- Using daily stock returnsJournal of Financial Economics, 1985
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for HeteroskedasticityEconometrica, 1980
- Goodness of Fit in Generalized Least Squares EstimationThe American Statistician, 1973