Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/130787 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
Working Paper No. 773
Verlag: 
Queen Mary University of London, School of Economics and Finance, London
Zusammenfassung: 
This paper examines the price impact of trading due to expected changes in the FTSE 100 index composition, which employs publicly-known objective criteria to determine membership. Hence, it provides a natural context to investigate anticipatory trading effects. We propose a panel-regression event study that backs out these anticipatory effects by looking at the price impact of the ex-ante probability of changing index membership status. Our findings reveal that anticipative trading explains about 40% and 23% of the cumulative abnormal returns of additions and deletions, respectively. The results are both statistically and economically significant.
Schlagwörter: 
Imperfect substitutes
Index revision
Liquidity
Price pressure
JEL: 
G12
G15
C14
Dokumentart: 
Working Paper

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