کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
963498 | 930357 | 2012 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Information efficiency changes following FTSE 100 index revisions
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
⺠We examines the impact of FTSE 100 index revisions on the stock price informational efficiency. ⺠We estimate the speed of price adjustment and price inefficiency from the partial adjustment with noise model of Amihud and Mendelson (1987). ⺠We report a significant improvement (no change) in the informational efficiency of the stocks added to (deleted from) the FTSE 100 index. ⺠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. ⺠The cross-sectional analysis we also show that stocks with low pre-addition market quality benefit more from joining the index.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 22, Issue 4, October 2012, Pages 1054-1069
Journal: Journal of International Financial Markets, Institutions and Money - Volume 22, Issue 4, October 2012, Pages 1054-1069
نویسندگان
Wael Daya, Khelifa Mazouz, Mark Freeman,