Add to ORKGThis paper examines the effects of changes in the FTSE/ATHEX indices. The benefit of analyzing changes in these indices is that they are determined by a ranking by market capitalization at regular semi annual reviews. Changes in indices composition should therefore have absolutely no direct information content. I find that stocks added to or deleted from these indices experience significant changes in stock price on the announcement day and the effective day. The results suggest that temporary price pressure play a role in the observed revision effect
This paper examines both the long-term and short-term impact associated with changes in the constit...
NoWe study the price and liquidity effects following the FTSE 100 index revisions. We employ the sta...
The effect of credit rating revisions on common stock prices is examined by taking into account the ...
This paper investigates FTSE 100 index membership changes, which are determined quarterly by market ...
Firms added to (deleted from) the S&P 600 index experience a significant price increase (decrease) a...
This paper examines the stock price and volume effects surrounding the announcement of constituent c...
This paper examines price and liquidity effects associated with scheduled index reorganisation durin...
This study examines the impact of reconstitution of the Straits Times Index from January 1999 to Aug...
We examine short- and the long-term price effect associated with the FTSE 100 index revisions. We co...
This paper is aimed at evaluating the index effect for the Australian blue-chip and midcap indices u...
NoWe examine short- and the long-term price effect associated with the FTSE 100 index revisions. We ...
Since October 1989, Standard and Poor’s has (when possible) announced changes in the composition of ...
This thesis studies the effect of index components changes on the stock prices of added and deleted ...
This paper examines the price impact of trading due to expected changes in the FTSE 100 index compos...
This study examines the impact of FTSE 100 index revisions on the informational efficiency of the un...
This paper examines both the long-term and short-term impact associated with changes in the constit...
NoWe study the price and liquidity effects following the FTSE 100 index revisions. We employ the sta...
The effect of credit rating revisions on common stock prices is examined by taking into account the ...
This paper investigates FTSE 100 index membership changes, which are determined quarterly by market ...
Firms added to (deleted from) the S&P 600 index experience a significant price increase (decrease) a...
This paper examines the stock price and volume effects surrounding the announcement of constituent c...
This paper examines price and liquidity effects associated with scheduled index reorganisation durin...
This study examines the impact of reconstitution of the Straits Times Index from January 1999 to Aug...
We examine short- and the long-term price effect associated with the FTSE 100 index revisions. We co...
This paper is aimed at evaluating the index effect for the Australian blue-chip and midcap indices u...
NoWe examine short- and the long-term price effect associated with the FTSE 100 index revisions. We ...
Since October 1989, Standard and Poor’s has (when possible) announced changes in the composition of ...
This thesis studies the effect of index components changes on the stock prices of added and deleted ...
This paper examines the price impact of trading due to expected changes in the FTSE 100 index compos...
This study examines the impact of FTSE 100 index revisions on the informational efficiency of the un...
This paper examines both the long-term and short-term impact associated with changes in the constit...
NoWe study the price and liquidity effects following the FTSE 100 index revisions. We employ the sta...
The effect of credit rating revisions on common stock prices is examined by taking into account the ...