Regression Discontinuity and the Price Effects of Stock Market Indexing
利用罗素1000和2000指数在市值排名1000附近的断点，研究发现股票被纳入罗素2000指数导致价格上涨，被剔除则价格下跌，并识别了指数化效应的时间趋势和提供流动性的基金类型。
The Russell 1000 and 2000 stock indexes comprise the first 1000 and next 2000 largest firms ranked by market capitalization. Small changes in the capitalizations of firms ranked near 1000 move them between these indexes. Because the indexes are value-weighted, more money tracks the largest stocks in the Russell 2000 than the smallest in the Russell 1000. Using this discontinuity, we find that additions to the Russell 2000 result in price increases and deletions result in price declines. We then identify time trends in indexing effects and the types of funds that provide liquidity to indexers.