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New evidence on the price and liquidity effects of the FTSE 100 index revisions

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  • Mazouz, Khelifa
  • Saadouni, Bharim
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    File URL: http://www.sciencedirect.com/science/article/B6W4W-4MSR8XP-1/2/7d4198d0cceb9e579a6f47c4b1992a32
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    Bibliographic Info

    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 16 (2007)
    Issue (Month): 3 ()
    Pages: 223-241

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    Handle: RePEc:eee:finana:v:16:y:2007:i:3:p:223-241

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    Web page: http://www.elsevier.com/locate/inca/620166

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    1. Aditya Kaul & Vikas Mehrotra & Randall Morck, 2000. "Demand Curves for Stocks "Do "Slope Down: New Evidence from an Index Weights Adjustment," Journal of Finance, American Finance Association, vol. 55(2), pages 893-912, 04.
    2. Doeswijk, Ronald Q., 2005. "The index revision party," International Review of Financial Analysis, Elsevier, vol. 14(1), pages 93-112.
    3. Grossman, Sanford J, 1988. "An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies," The Journal of Business, University of Chicago Press, vol. 61(3), pages 275-98, July.
    4. Cristina Vespro, 2006. "Stock price and volume effects associated with compositional changes in European stock indices," ULB Institutional Repository 2013/165843, ULB -- Universite Libre de Bruxelles.
    5. Robert Savickas, 2003. "Event-Induced Volatility and Tests for Abnormal Performance," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 26(2), pages 165-178.
    6. Dhillon, Upinder & Johnson, Herb, 1991. "Changes in the Standard and Poor's 500 List," The Journal of Business, University of Chicago Press, vol. 64(1), pages 75-85, January.
    7. Corhay, A. & Rad, A. Tourani, 1996. "Conditional heteroskedasticity adjusted market model and an event study," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(4), pages 529-538.
    8. Stein, Jeremy C., 1987. "Informational Externalities and Welfare-Reducing Speculation," Scholarly Articles 3660740, Harvard University Department of Economics.
    9. Fedenia, Mark & Grammatikos, Theoharry, 1992. "Options Trading and the Bid-Ask Spread of the Underlying Stocks," The Journal of Business, University of Chicago Press, vol. 65(3), pages 335-51, July.
    10. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
    11. Edmister, Robert O & Graham, A Steven & Pirie, Wendy L, 1994. "Excess Returns of Index Replacement Stocks: Evidence of Liquidity and Substitutability," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 17(3), pages 333-46, Fall.
    12. Hahn, TeWhan & Reyes, Mario G., 2004. "On the estimation of stock-market reaction to corporate layoff announcements," Review of Financial Economics, Elsevier, vol. 13(4), pages 357-370.
    13. Shleifer, Andrei, 1986. " Do Demand Curves for Stocks Slope Down?," Journal of Finance, American Finance Association, vol. 41(3), pages 579-90, July.
    14. Lynch, Anthony W & Mendenhall, Richard R, 1997. "New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index," The Journal of Business, University of Chicago Press, vol. 70(3), pages 351-83, July.
    15. Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 17(2), pages 223-249, December.
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