2 ms·
The returns are on a short period. From the paper: Our main interest is the total return, defined as the cumulative market-adjusted return from the last trading
by malshe 4y ago
The returns are on a short period. From the paper: Our main interest is the total return, defined as the cumulative market-adjusted return from the last trading day before the announcement to the first trading day after the implementation.
This has nothing to do with the "time in the market" as you mention above.
- thenerdhead 4y agoYeah so if people can profit short term off index rebalancing: https://archive.is/54uIY https://archive.is/54uIY Then stocks that have more "time on the S&P 500/index" are prone to survive and see higher returns also over the long term.