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

Bryan Mase

Applied Financial Economics, 2006, vol. 16, issue 15, 1113-1118

Abstract: 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.

Date: 2006
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DOI: 10.1080/09603100500447479

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