Evidence on Stock Price Effects Associated with Changes in the S&P 600 SmallCap Index

Two widely recognized indices of the performance of small capitalization stock are the Russell 2000 Index and the S&P 600 SmallCap Index. While there have been many studies on the effect of the addition of a stock to an index, two recent and important studies are Chen, Noronha, and Singal (2004)...

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