Author(s)

Christos Floros^1*, Efthalia Tabouratzi¹, Dimitris Charamis², Stella Zounta³

¹Department of Accounting and Finance, Technological Educational Institute of Crete, Crete, Greece.
²Department of Business Administration University of Patras, Patras, Greece.
³Business School, University of the Aegean, Chios, Greece.

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.

Stock Market Returns, Volatility, Index Ratios, US, Joiners, Leavers, GARCH

Floros, C. , Tabouratzi, E. , Charamis, D. and Zounta, S. (2017) Accounting and Stock Market Performance in the US: Evidence from Joiners and Leavers. Theoretical Economics Letters, 7, 696-708. doi: 10.4236/tel.2017.74050.