TY - JOUR
T1 - Identification Using Russell 1000/2000 Index Assignments
T2 - A Discussion of Methodologies
AU - Appel, Ian R.
AU - Gormley, Todd A.
AU - Keim, Donald B.
N1 - Publisher Copyright:
©2024 Ian R. Appel, Todd A. Gormley and Donald B. Keim.
PY - 2024/2/14
Y1 - 2024/2/14
N2 - This paper discusses empirical methods that rely on Russell 1000/2000 index assignments for identification. Using simulated data, the paper illustrates why the varying approaches reach conflicting conclusions about the effect of index assignment on a firm’s ownership structure and corporate policies. Some estimators likely suffer from bias (e.g., those that employ a sharp regression discontinuity estimation); others do not (e.g., those that either use a fuzzy regression discontinuity or an instrumental variable estimation). The paper also discusses changes in Russell’s index assignment methodology that began in 2007 and why these changes require modifications to the existing methodologies.
AB - This paper discusses empirical methods that rely on Russell 1000/2000 index assignments for identification. Using simulated data, the paper illustrates why the varying approaches reach conflicting conclusions about the effect of index assignment on a firm’s ownership structure and corporate policies. Some estimators likely suffer from bias (e.g., those that employ a sharp regression discontinuity estimation); others do not (e.g., those that either use a fuzzy regression discontinuity or an instrumental variable estimation). The paper also discusses changes in Russell’s index assignment methodology that began in 2007 and why these changes require modifications to the existing methodologies.
KW - Instrumental estimation
KW - Regression discontinuity
KW - Russell indexes
UR - https://www.scopus.com/pages/publications/85189918574
U2 - 10.1561/104.00000139
DO - 10.1561/104.00000139
M3 - Article
AN - SCOPUS:85189918574
SN - 2164-5744
VL - 13
SP - 151
EP - 224
JO - Critical Finance Review
JF - Critical Finance Review
IS - 1-2
ER -