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dc.contributor.authorMazouz, Khelifa*
dc.contributor.authorSaadouni, B.*
dc.date.accessioned2009-11-10T08:46:27Z
dc.date.available2009-11-10T08:46:27Z
dc.date.issued2007
dc.identifier.citationMazouz, K. and Saadouni, B. (2007). The price effects of FTSE100 index revision: What drives the long-term abnormal return reversal?. Applied Financial Economics. Vol. 17, No. 6, pp. 501-510.en
dc.identifier.urihttp://hdl.handle.net/10454/3880
dc.descriptionNo
dc.description.abstractWe examine short- and the long-term price effect associated with the FTSE 100 index revisions. We control for both heteroskedastic nature of the residual and the change, between the estimation and the test period, in the beta coefficient of the standard market model. Our findings reveal no relationship between the long-term price reversals and the change in the discount rate, as approximated by the beta coefficient of the market model. Overall, we provide strong evidence in favour of the price pressure hypothesis, where the price increase (decrease) gradually starting before the announcement an inclusion (exclusion) and reverses completely in less than two weeks after the index revision date.en
dc.language.isoenen
dc.subjectLong-term price effect
dc.subjectFTSE 100 Index Revisions
dc.subjectReturn reversal
dc.titleThe price effects of FTSE100 index revision: What drives the long-term abnormal return reversal?en
dc.status.refereedYes
dc.typeArticle
dc.type.versionNo full-text in the repository
dc.identifier.doihttps://doi.org/10.1080/09603100600690085
dc.openaccess.statusclosedAccess


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