Abstract: Investment in stocks is one of the most popular investment destinations and different investors follow different strategies while investing and there are lots of strategies depending upon the period of investment, risk taking capacity, amount of fund etc. Many empirical studies around the world show the evidence of abnormal change in the price and trading volume of the stocks included to or excluded from the index when the index composition changes. There are several explanations for these observed effects from the existing literature. Most of the current researches have examined possibility of abnormal profit by following the trading strategies around the announcement date and the date of effective change whiles the examination of price effect. In this paper I have examined that whether an investor will earn any abnormal profit or not in the long term by investing in included or excluded stocks by using event study methodology and found that investor can use the information of stock inclusion to earn excess return.
Keywords: Investment Strategy, Long-term Return, Stock Exclusion, Stock Inclusion.
Title: Long-term Performance of Stocks Included to and Excluded from Stock Index: Evidence from India
Author: Dhirendra Nath Mahata
International Journal of Interdisciplinary Research and Innovations
ISSN 2348-1218 (print), ISSN 2348-1226 (online)
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