Evidence of Crowding on Russell 3000 Reconstitution Events

نویسندگان

چکیده

We develop a methodology which replicates in great accuracy the FTSE Russell indexes reconstitutions, including quarterly rebalancings due to new initial public offerings (IPOs). While using only data available CRSP US Stock database for our index reconstruction, we demonstrate of this by comparing it original time period between 1989 and 2019. A python package that generates replicated is also provided [A Micheli. pyndex — reconstruction package. Available at https: //github.com/alemicheli/pyndex .]. As an application, use protocol compute permanent temporary price impact on 3000 annual additions deletions, IPOs. find portfolios following rebalanced basis are overall more crowded than those basis. This phenomenon implies transaction costs indexing strategies could be significantly reduced buying IPOs proximity rebalance dates.

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ژورنال

عنوان ژورنال: Market microstructure and liquidity

سال: 2022

ISSN: ['2424-8037', '2382-6266']

DOI: https://doi.org/10.1142/s2382626620500094