TITLE:
Accounting and Stock Market Performance in the US: Evidence from Joiners and Leavers
AUTHORS:
Christos Floros, Efthalia Tabouratzi, Dimitris Charamis, Stella Zounta
KEYWORDS:
Stock Market Returns, Volatility, Index Ratios, US, Joiners, Leavers, GARCH
JOURNAL NAME:
Theoretical Economics Letters,
Vol.7 No.4,
May
17,
2017
ABSTRACT: We consider recent data from three major US indices
(S & P500, NASDAQ 100, and DJIA) to examine the effect of joiners and
leavers on stock market returns and volatility. We report (a) a positive effect
of leavers on stock market returns (S & P500, DJIA), (b) a positive effect
of leavers on stock market volatility (S & P500), and (c) a negative effect
of joiners on DJIA stock market returns and volatility. No effects reported for
NASDAQ100. We compare these results with the profitability, P/E and Price to
Book index ratios. These findings are recommended to financial managers and investors
dealing with US stock indices.