An Improved Method to Predict Assignment of Stocks into Russell Indexes
42 Pages Posted: 14 Oct 2019 Last revised: 22 Jul 2023
Date Written: October 2019
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).
Suggested Citation: Suggested Citation
Ben-David, Itzhak and Franzoni, Francesco A. and Moussawi, Rabih, An Improved Method to Predict Assignment of Stocks into Russell Indexes (October 2019). NBER Working Paper No. w26370, Available at SSRN: https://ssrn.com/abstract=3469397
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