The index effect: evidence from additions and deletions in the S&P 500

Amato, Federico (A.A. 2024/2025) The index effect: evidence from additions and deletions in the S&P 500. Tesi di Laurea in Equity markets and alternative investments, Luiss Guido Carli, relatore Paolo Vitale, pp. 46. [Master's Degree Thesis]

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Abstract/Index

The S&P 500 stock index. Index effect. S&P mid and small cap. Are financial markets efficient? Data and methodology. Event study. Empirical results. Exclusions. Literature review. Price pressure and demand elasticity hypotheses. The information signaling hypothesis. Options and market efficiency. Disappearing index effect? Trading strategy. Transaction costs. Main limitations.

References

Bibliografia: pp. 44-45.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair: Equity markets and alternative investments
Thesis Supervisor: Vitale, Paolo
Thesis Co-Supervisor: Morelli, Marco
Academic Year: 2024/2025
Session: Autumn
Deposited by: Alessandro Perfetti
Date Deposited: 03 Mar 2026 13:59
Last Modified: 03 Mar 2026 13:59
URI: https://tesi.luiss.it/id/eprint/45061

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