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Investor awareness and the long-term impact of FTSE 100 index redefinitions

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  • Bryan Mase
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    Abstract

    This study finds an asymmetric long-run abnormal return performance following stocks' inclusion in or deletion from the FTSE 100 Index. This asymmetry suggests that investors' awareness of stocks is influenced by index changes. These results extend those documented by Chen et al. (2004) for the S&P 500.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500447479
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 16 (2006)
    Issue (Month): 15 ()
    Pages: 1113-1118

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    Handle: RePEc:taf:apfiec:v:16:y:2006:i:15:p:1113-1118

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    1. Beneish, Messod D. & Gardner, John C., 1995. "Information Costs and Liquidity Effects from Changes in the Dow Jones Industrial Average List," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(01), pages 135-157, March.
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    9. Merton, Robert C., 1987. "A simple model of capital market equilibrium with incomplete information," Working papers 1869-87., Massachusetts Institute of Technology (MIT), Sloan School of Management.
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    Cited by:
    1. Ernest Biktimirov & Boya Li, 2014. "Asymmetric stock price and liquidity responses to changes in the FTSE SmallCap index," Review of Quantitative Finance and Accounting, Springer, vol. 42(1), pages 95-122, January.

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