Add to ORKGThis paper studies the changes in European stock market indexes composition from 1995 to 2015. It was found that there are mixed price effects producing abnormal returns around the effective replacement of added and deleted stocks. The price pressure hypothesis seems to hold for added stocks in some indexes but not for deleted stocks as there is not a clear inversion of behaviour after the replacement. Finally, the building and back testing of a trading strategy aiming to capture some of those abnormal returns shows it yields a Sharpe Ratio of 1.4 and generates an annualised alpha of 11%
This thesis presents four empirical studies on the functioning and dynamics of stock market indices....
The aim of this article is to examine, on the example of companies whose shares are to be included i...
This paper extends the empirical evidence on stock returns after preceding price innovations using d...
Previous studies have documented abnormally high returns for stocks added to an index. Also stocks r...
This thesis studies the effect of index components changes on the stock prices of added and deleted ...
This paper observes the short-run effects of stock market index composition changes on stock returns...
This article examines the quantum and persistence of abnormal returns (positive and negative) for sh...
This study examines the effect of KSE-100 and LSE-25 index re-composition on addition and deletion o...
This paper examines both the long-term and short-term impact associated with changes in the constit...
This paper provides further evidence of price and volume effects associated with index compositional...
Earlier studies have shown that stocks added to an index generate significant abnormal returns on th...
This paper examines price effects associated with additions and deletions to the Standard and Poor’s...
"This paper provides further evidence of price and volume effects associated with index compositiona...
This paper examines the impact of changes in the composition of real estate stock indices, consideri...
The purpose of this article is to examine how the weak-form efficiency of the European stock markets...
This thesis presents four empirical studies on the functioning and dynamics of stock market indices....
The aim of this article is to examine, on the example of companies whose shares are to be included i...
This paper extends the empirical evidence on stock returns after preceding price innovations using d...
Previous studies have documented abnormally high returns for stocks added to an index. Also stocks r...
This thesis studies the effect of index components changes on the stock prices of added and deleted ...
This paper observes the short-run effects of stock market index composition changes on stock returns...
This article examines the quantum and persistence of abnormal returns (positive and negative) for sh...
This study examines the effect of KSE-100 and LSE-25 index re-composition on addition and deletion o...
This paper examines both the long-term and short-term impact associated with changes in the constit...
This paper provides further evidence of price and volume effects associated with index compositional...
Earlier studies have shown that stocks added to an index generate significant abnormal returns on th...
This paper examines price effects associated with additions and deletions to the Standard and Poor’s...
"This paper provides further evidence of price and volume effects associated with index compositiona...
This paper examines the impact of changes in the composition of real estate stock indices, consideri...
The purpose of this article is to examine how the weak-form efficiency of the European stock markets...
This thesis presents four empirical studies on the functioning and dynamics of stock market indices....
The aim of this article is to examine, on the example of companies whose shares are to be included i...
This paper extends the empirical evidence on stock returns after preceding price innovations using d...