The price effects of FTSE100 index revision: What drives the long-term abnormal return reversal?
dc.contributor.author | Mazouz, Khelifa | * |
dc.contributor.author | Saadouni, B. | * |
dc.date.accessioned | 2009-11-10T08:46:27Z | |
dc.date.available | 2009-11-10T08:46:27Z | |
dc.date.issued | 2007 | |
dc.identifier.citation | Mazouz, 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.uri | http://hdl.handle.net/10454/3880 | |
dc.description | No | |
dc.description.abstract | We 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.iso | en | en |
dc.subject | Long-term price effect | |
dc.subject | FTSE 100 Index Revisions | |
dc.subject | Return reversal | |
dc.title | The price effects of FTSE100 index revision: What drives the long-term abnormal return reversal? | en |
dc.status.refereed | Yes | |
dc.type | Article | |
dc.type.version | No full-text in the repository | |
dc.identifier.doi | https://doi.org/10.1080/09603100600690085 | |
dc.openaccess.status | closedAccess |