Todos los libros

Profesional

Apps Acerca de Coach Iniciar sesión Empezar a leer

Quantitative Finance · Glosario

¿Qué es Index effect?

Definition 15.12 Markets I: The Ecosystem and Exchange-Traded Markets · Capítulo 15 — Index Construction and Rebalancing

The index effect is the abnormal return of a stock between the announcement of its addition to (or deletion from) an index and the effective date, together with its partial reversal afterwards.

A stylised addition, in cumulative abnormal return: a jump at the announcement (day -5), a run-up to the effective close, a partial reversal. Only the two heights at day 0 are published averages; the shapes, the split between permanent and temporary parts and the speed of the reversal are illustrative.
Figure 15.4. A stylised addition, in cumulative abnormal return: a jump at the announcement (day −5-5), a run-up to the effective close, a partial reversal. Only the two heights at day 0 are published averages; the shapes, the split between permanent and temporary parts and the speed of the reversal are illustrative.
Leer en el capítulo →