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Title: An Improved Method to Predict Assignment of Stocks into Russell Indexes

Author(s): Itzhak Ben-David, Francesco Franzoni and Rabih Moussawi

Publication Date: December 2019

Keyword(s): ETFs, institutional investors, Russell and volatility

Programme Area(s): Financial Economics

Abstract: A growing literature uses the Russell 1000/2000 reconstitution event as an identification strategy to investigate corporate finance and asset pricing questions. To implement this identification strategy, researchers need to approximate the ranking variable used to assign stocks to indexes. We develop a procedure that predicts assignment to the Russell 1000/2000 with significant improvements relative to previous approaches. We apply this methodology to extend the tests in Ben-David, Franzoni, and Moussawi (2018).

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Bibliographic Reference

Ben-David, I, Franzoni, F and Moussawi, R. 2019. 'An Improved Method to Predict Assignment of Stocks into Russell Indexes'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=14234