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The Journal of Portfolio Management

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Primary Article

S&P 500 Index Replacements

Messod D. Beneish and Robert E. Whaley
The Journal of Portfolio Management Fall 2002, 29 (1) 51-60; DOI: https://doi.org/10.3905/jpm.2002.319863
Messod D. Beneish
The Sam Frumer professor of accounting at the Kelley School of Business at Indiana University in Bloomington (IN 47405).
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  • For correspondence: dbeneish@indiana.edu
Robert E. Whaley
T. Austin Finch Foundation professor of business administration at the Fuqua School of Business at Duke University in Durham (NC 27706).
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  • For correspondence: whaley@duke.edu
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Abstract

Standard & Poor's has become increasingly aggressive in deleting stocks from the S&P 500 index. Where once it made replacements in the index only when a particular stock had to be removed due to merger or acquisition, corporate restructuring, and bankruptcy filing, S&P now voluntarily removes a company for a variety of reasons, which may include low market capitalization, low share price, dwindling market share, or simply the need to find a spot for an up-and-comer. There are a variety of impacts on share price and trading volume for stocks added to and deleted from the S&P 500 during the period January 1996 through December 2001. For additions, abnormal returns and trading volumes are higher than ever. For deletions, share prices are dealt a crippling blow.

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The Journal of Portfolio Management
Vol. 29, Issue 1
Fall 2002
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S&P 500 Index Replacements
Messod D. Beneish, Robert E. Whaley
The Journal of Portfolio Management Oct 2002, 29 (1) 51-60; DOI: 10.3905/jpm.2002.319863

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S&P 500 Index Replacements
Messod D. Beneish, Robert E. Whaley
The Journal of Portfolio Management Oct 2002, 29 (1) 51-60; DOI: 10.3905/jpm.2002.319863
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