Essays about: "Giacomo Reghelin"

Found 1 essay containing the words Giacomo Reghelin.

  1. 1. Does mispricing explain returns following addition to the S&P 500?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Giacomo Reghelin; James Alexander Nunn; [2020]
    Keywords : Index premium; S P 500; Mispricing; Market efficiency; Business and Economics;

    Abstract : This study investigates the relationships between mispricing and returns following addition to the S&P 500. We find evidence that the index premium is demand-driven, resulting in mispricing that is subsequently exploited by rational investors. We find that index premia are temporary, undergoing a full reversal within 20 days. READ MORE