Ben-David, Itzhak
[Verfasser:in]
;
Franzoni, Francesco
[Sonstige Person, Familie und Körperschaft];
Moussawi, Rabih
[Sonstige Person, Familie und Körperschaft]National Bureau of Economic Research
An Improved Method to Predict Assignment of Stocks into Russell Indexes
Erschienen:
Cambridge, Mass: National Bureau of Economic Research, 2019
Erschienen in:NBER working paper series ; no. w26370
Umfang:
1 Online-Ressource; illustrations (black and white)
Sprache:
Englisch
DOI:
10.3386/w26370
Identifikator:
Reproduktionsnotiz:
Hardcopy version available to institutional subscribers
Entstehung:
Anmerkungen:
System requirements: Adobe [Acrobat] Reader required for PDF files
Mode of access: World Wide Web
Beschreibung:
A growing literature uses the Russell 1000/2000 reconstitution event as an identification strategy to investigate corporate finance and asset pricing questions. To implement this identification strategy, researchers need to approximate the ranking variable used to assign stocks to indexes. We develop a procedure that predicts assignment to the Russell 1000/2000 with significant improvements relative to previous approaches. We apply this methodology to extend the tests in Ben-David, Franzoni, and Moussawi (2018)