The Hidden Costs of Index Rebalancing: A Case Study of the S&P 500 Composition Changes of July 19, 2002

An Anatomy of the “S&P Game”: The Effects of Changing the Rules

1996 • 364 citations

An analysis of mutual fund design: the case of investing in small-cap stocks

1999 • 132 citations

Does Delisting from the S&P 500 Affect Stock Price?

1986 • 101 citations

Equity Index Funds Have Lost Their Way

2002 • 55 citations

Non-Secular Regularities in Stock Returns: The Impact of the High Holy Days on the U.S. Equity Market, Forthcoming in the Financial Analysts Journal

2001 • 10 citations

The Hidden Cost of Trading at the Close

2001 • 9 citations

FORTHCOMING: FINANCIAL ANALYSTS JOURNAL

2003 • 3 citations