Evidence of Crowding on Russell 3000 Reconstitution Events

12 Jun 2020Alessandro MicheliEyal Neuman

We develop a methodology which replicates in great accuracy the FTSE Russell indexes reconstitutions, including the quarterly rebalancings due to new initial public offerings (IPOs). While using only data available in the CRSP US Stock database for our index reconstruction, we demonstrate the accuracy of this methodology by comparing it to the original Russell US indexes for the time period between 1989 to 2019... (read more)

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