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Euikyu Choi, Wei Du, Orhan Kara and Marek Marciniak
''Market responses to S&P exclusions: Evidence from the 2010-2019 period ''
( 2023, Vol. 43 No.4 )
This study investigates the impact of S&P downgrades and deletions on the cumulative abnormal returns (CARs) of affected firms. The results show that the market does not view a company's downgrade as a negative event in the short term, and even perceives it as a positive event in the long-term. In addition, the significant negative impacts on the event day for deletion firms are fully reversed within 20 days. Our study shows that the short-term CARs are dependent on whether it is a downgrading or deletion event, market volatility, and the duration of the company's listing on the S&P. Interestingly, these factors do not exhibit any significant correlations with the long-term CARs.
Keywords: S&P indices, index delisting, index downgrading, event study
JEL: G1 - General Financial Markets
G2 - Financial Institutions and Services: General
Manuscript Received : Apr 19 2023 Manuscript Accepted : Dec 30 2023

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