Effects of inclusions and exclusions from an index: an event study on the S&P 500
Sorbi, Chiara (A.A. 2021/2022) Effects of inclusions and exclusions from an index: an event study on the S&P 500. Tesi di Laurea in Equity markets and alternative investments, Luiss Guido Carli, relatore Paolo Vitale, pp. 41. [Master's Degree Thesis]
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Abstract/Index
Event study methodology. Efficient market hypothesis. What is an event study. The “fathers” of event study methodology. Outline of an event study. Models to measure normal performance. Literature review. Empirical study. The S&P 500 index. Sample and data selection. Definition of the event window. Choice of the reference model and calculations of abnormal returns. Cumulative abnormal returns. Analysis of the results. Price results.
References
Bibliografia: pp. 38-40.
| 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: | Traficante, Guido |
| Academic Year: | 2021/2022 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 24 Jan 2023 14:01 |
| Last Modified: | 24 Jan 2023 14:01 |
| URI: | https://tesi.luiss.it/id/eprint/34710 |
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