Abnormal Returns Of The Russell Index Reconstitution Anomaly: New 2023 Study

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Introduction

Yearly the Russell Indexes are rebalanced to herald new shares and take away underperforming shares. The FTSE Russell calls this occasion the annual reconstitution course of. It begins with evaluations and “rankings” in Might and strikes to thereconstituted indexes

Russell reconstitution schedule

FTSE Russell

Russell reconstitution schedule and Major market interventions

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Rising Russell 1000 stocks 2022

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Lower Russell 2000 index stocks

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Rising Russell 1000 index stocks

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Lowering Russell 2000 index stocks

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Russell Index Returns

Chinco & Sammon (2022)

Stock Additions

Chinco & Sammon (2022)

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