Demand Curves for Stocks Do Slope Down: New Evidence from an Index Weights Adjustment
利用多伦多证券交易所300指数权重调整这一外生事件，发现受影响股票在事件周出现2.3%的超额收益且无价格反转，为股票需求曲线向下倾斜提供了新证据。
Weights in the Toronto Stock Exchange 300 index are determined by the market values of the included stocks' public floats. In November 1996, the exchange implemented a previously announced revision of its definition of the public float. This revision, which increased the floats and the index weights of 31 stocks, conveyed no information and had no effect on the legal duties of shareholders. Affected stocks experienced statistically significant excess returns of 2.3 percent during the event week, and no price reversal occurred as trading volume returned to normal levels. These findings support downward sloping demand curves for stocks.