Liquidity Effects due to Information Costs from Changes in the FTSE 100 List
AbstractIn this paper we examine effect on the returns of firms that have been included to and deleted from the FTSE 100 over the time period of 1984-2001. Like the S&P 500 listing studies, we find that the price and trading volume of newly listed (deleted) firms increases (decreases). The evidence is consistent with the information cost/liquidity explanation. This is because investors hold stocks with more (less) available information, consequently implying that they have lower (higher) trading costs. This explains the increase (decrease) in the stock price and trading volume of newly listed (deleted) stocks to (from) the FTSE 100 List.
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Bibliographic InfoPaper provided by Economics and Finance Section, School of Social Sciences, Brunel University in its series Economics and Finance Discussion Papers with number 03-02.
Length: 30 pages
Date of creation: Jan 2003
Date of revision:
Contact details of provider:
Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK
Other versions of this item:
- A. Gregoriou & CHRISTOS IOANNIDIS, 2003. "Liquidity Effects due to Information Costs from Changes in the FTSE 100 List," Public Policy Discussion Papers 03-02, Economics and Finance Section, School of Social Sciences, Brunel University.
- NEP-ALL-2004-07-18 (All new papers)
- NEP-FIN-2004-07-18 (Finance)
- NEP-FMK-2004-07-18 (Financial Markets)
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