Stock market reactions to changes in the FTSE SmallCap and S&P/TSX SmallCap indices
Bibliographic record
Abstract
Stocks added to (deleted from) the Russell 2000 and the S&P 600 indexes \nexperience positive (negative) abnormal returns following the announcement. However, \nresearchers disagree on whether these abnormal returns are permanent or temporary and \noffer competing explanations. I address this controversy by examining market reactions \nfor firms that are added to or deleted from the FTSE Small Cap index (the main testing \nsample) and the S&P/TSX SmallCap index (the comparison sample). For the main testing \nsample, all stocks except pure additions, experience a permanent price change that is \naccompanied by a permanent change in liquidity. However, for the comparison sample, \nabnormal returns over the announcement period fully reverted within 30 days. In further \nexamination of stock liquidity for the main testing sample, sample stocks experience \npermanent change in liquidity. Taken together, the observed results support the price \npressure and liquidity hypotheses.
Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.
How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.000 | 0.000 |
| Meta-epidemiology (narrow) | 0.001 | 0.001 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.002 | 0.002 |
| Science and technology studies | 0.001 | 0.000 |
| Scholarly communication | 0.001 | 0.001 |
| Open science | 0.003 | 0.001 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".