Information efficiency changes following FTSE 100 index revisions

► We examines the impact of FTSE 100 index revisions on the stock price informational efficiency. ► We estimate the speed of price adjustment and price inefficiency from the partial adjustment with noise model of Amihud and Mendelson (1987). ► We report a significant improvement (no change) in the informational efficiency of the stocks added to (deleted from) the FTSE 100 index. ► We attribute the asymmetric effect of additions and deletions to certain aspects of liquidity and other fundamental characteristics, which improve following additions, but do not diminish after deletions. ► The cross-sectional analysis we also show that stocks with low pre-addition market quality benefit more from joining the index.