| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26370 |
| 来源ID | Working Paper 26370 |
| An Improved Method to Predict Assignment of Stocks into Russell Indexes | |
| Itzhak Ben-David; Francesco Franzoni; Rabih Moussawi | |
| 发表日期 | 2019-10-14 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | 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). |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w26370 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/584044 |
| 推荐引用方式 GB/T 7714 | Itzhak Ben-David,Francesco Franzoni,Rabih Moussawi. An Improved Method to Predict Assignment of Stocks into Russell Indexes. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w26370.pdf（385KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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