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

• Autores: Bryan Mase
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 16, Nº. 15, 2006, págs. 1113-1118
• Idioma: inglés
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• Resumen

  • 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.