Regression Discontinuity and the Price Effects of Stock Market Indexing

The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. This draft is a substantially revised version of our SSRN manuscript entitled "Rules and Regression Discontinuities in Asset Markets" dated March 25, 2011. Hong acknowledges support from an NSF grant. We thank Jeffrey Kubik, Larry Harris, Pete Kyle, David Lee, Jeremy Stein and seminar participants and discussants at Seoul National University, Tulane University, University of Washington, 2012 WFA, CICF, FMA Asia, Fall 2011 NBER Behavioral Finance Meeting, Winter 2011 Princeton-Lausanne EPFL Conference, Fudan University, National Taiwan University and the Swedish Institute for Finance Research for very helpful comments. We also thank Russell Investments for providing data and He Ai for her research assistance. The internet appendix is available online at http://www.princeton.edu/~hhong/rd2000appendix

• August 7, 2013