Sökning: "Giacomo Reghelin"

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  1. 1. Does mispricing explain returns following addition to the S&P 500?

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Giacomo Reghelin; James Alexander Nunn; [2020]
    Nyckelord :Index premium; S P 500; Mispricing; Market efficiency; Business and Economics;

    Sammanfattning : This study investigates the relationships between mispricing and returns following addition to the S&P 500. We find evidence that the index premium is demand-driven, resulting in mispricing that is subsequently exploited by rational investors. We find that index premia are temporary, undergoing a full reversal within 20 days. LÄS MER