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Information Costs and Liquidity Effects from Changes in the Dow Jones Industrial Average List

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  • Beneish, Messod D.
  • Gardner, John C.
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    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 30 (1995)
    Issue (Month): 01 (March)
    Pages: 135-157

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    Handle: RePEc:cup:jfinqa:v:30:y:1995:i:01:p:135-157_00

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    Cited by:
    1. Yun, Jooyoung & Kim, Tong S., 2010. "The effect of changes in index constitution: Evidence from the Korean stock market," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 258-269, September.
    2. Bryan Mase, 2006. "Investor awareness and the long-term impact of FTSE 100 index redefinitions," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 16(15), pages 1113-1118.
    3. Bacha, Obiyathulla I. & Abdullah, Mimi H., 2001. "Halal Stock Designation and Impact on Price and Trading Volume," MPRA Paper 12728, University Library of Munich, Germany, revised Feb 2001.
    4. Kaserer, Christoph & Munzinger, Jakob & Wagner, Niklas, 2004. "The index effect: Comparison of different measurement approaches," CEFS Working Paper Series 2004-04, Center for Entrepreneurial and Financial Studies (CEFS), Technische Universität München.
    5. Adrian Wai Kong Cheung, 2011. "Do Stock Investors Value Corporate Sustainability? Evidence from an Event Study," Journal of Business Ethics, Springer, Springer, vol. 99(2), pages 145-165, March.
    6. Chan, Kalok & Kot, Hung Wan & Tang, Gordon Y.N., 2013. "A comprehensive long-term analysis of S&P 500 index additions and deletions," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4920-4930.
    7. Ulrich Pape & Stephan Schmidt-Tank, 2005. "Liquidity Effects of Changes in a Pan-European Stock Index," Finance, EconWPA 0503016, EconWPA.
    8. Doeswijk, Ronald Q., 2005. "The index revision party," International Review of Financial Analysis, Elsevier, vol. 14(1), pages 93-112.
    9. Liu, Shinhua, 2011. "The price effects of index additions: A new explanation," Journal of Economics and Business, Elsevier, Elsevier, vol. 63(2), pages 152-165, March.
    10. Daniel Pullen & Gerard Gannon, 2007. "The Index Effect: An Investigation of the Price, Volume and Trading Effects Surrounding Changes to the S & P Australian Indices," Accounting, Finance, Financial Planning and Insurance Series, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance 2007_07, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
    11. Azevedo, Alcino & Karim, Mohamad & Gregoriou, Andros & Rhodes, Mark, 2014. "Stock price and volume effects associated with changes in the composition of the FTSE Bursa Malaysian KLCI," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 28(C), pages 20-35.
    12. Bechmann, Ken L., 2002. "Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index - The KFX Index," Working Papers, Copenhagen Business School, Department of Finance 2002-2, Copenhagen Business School, Department of Finance.
    13. Datar, Vinay T. & Y. Naik, Narayan & Radcliffe, Robert, 1998. "Liquidity and stock returns: An alternative test," Journal of Financial Markets, Elsevier, Elsevier, vol. 1(2), pages 203-219, August.
    14. COLLA, Paolo, 2005. "A market microstructure rationale for the S&P game," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2005008, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

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