PRICE AND VOLUME EFFECTS ASSOCIATED WITH CHANGES IN THE DOW-JONES AVERAGES

Citation
J. Polonchek et T. Krehbiel, PRICE AND VOLUME EFFECTS ASSOCIATED WITH CHANGES IN THE DOW-JONES AVERAGES, The Quarterly review of economics and finance, 34(4), 1994, pp. 305-316
Citations number
16
Categorie Soggetti
Business Finance",Economics
ISSN journal
10629769
Volume
34
Issue
4
Year of publication
1994
Pages
305 - 316
Database
ISI
SICI code
1062-9769(1994)34:4<305:PAVEAW>2.0.ZU;2-G
Abstract
This study compares the price and volume responses associated with cha nges in the roster of the Dow Jones Industrial and Transportation Aver ages with previous research investigating changes in the rosters of th e Standard and Poor's stock indices. Event period abnormal returns and daily trading volume for firms added to the Averages are consistent w ith Merton's (1987) attention hypothesis. Firms added to the roster of the Industrial Average experience positive significant abnormal retur ns and significantly greater trading volume on the event date. Firms a dded to the Transportation Average, an event which receives much less media attention, experience neither event period abnormal returns nor increased trading volume. Firms dropped from both Averages experience neither event period abnormal returns nor increased trading volume.