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An improved method to predict assignment of stocks into Russell indexes

Author: Itzhak Ben-David; Francesco Franzoni; Rabih Moussawi; National Bureau of Economic Research,
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2019.
Series: Working paper series (National Bureau of Economic Research), no. 26370.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Itzhak Ben-David; Francesco Franzoni; Rabih Moussawi; National Bureau of Economic Research,
OCLC Number: 1124923532
Notes: "October 2019"
Description: 1 online resource (40 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 26370.
Other Titles: Note to "Do ETFs increase volatility?": an improved method to predict assignment of stocks into Russell indexes
Responsibility: Itzhak Ben-David, Francesco Franzoni, Rabih Moussawi.

Abstract:

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).

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