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The Role of the S&P 500 Index Constituents in Tracking the U.S. Equity Market
| Content Provider | Semantic Scholar |
|---|---|
| Author | Asem, Ebenezer Alam, Shamsul |
| Copyright Year | 2012 |
| Abstract | We investigate how the S&P committee balances the Index's goals of representing the U.S. equity market as well as capturing the performance of the equity market through its addition/deletion decisions. Our results show that the Index represents the US equity market very well by maintaining large stocks. However, these large stocks underperform the Index by 0.24% per month. The index committee makes up the lower performance of these stocks by adding high-performance stocks when deletions occur. The deletion/addition events are therefore crucial in both representing the equity market and tracking it performance. |
| Starting Page | 15 |
| Ending Page | 15 |
| Page Count | 1 |
| File Format | PDF HTM / HTML |
| DOI | 10.5539/ijef.v4n12p15 |
| Volume Number | 4 |
| Alternate Webpage(s) | http://www.ccsenet.org/journal/index.php/ijef/article/download/21576/14441 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
