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

References

• Abhyankar , A , Ho , K and Zhao , H . 2005 . Long-run post-merger stock performance of uk acquiring firms: a stochastic dominance perspective . Applied Financial Economics , 15 : 679 – 90 .
   Google Scholar
• Akhigbe , A , Madura , J and Spencer , C . 2004 . Partial acquisitions, corporate control, and performance . Applied Financial Economics , 14 : 847 – 57 .
   Google Scholar
• Barber , B and Lyon , J . 1997 . Detecting long-run abnormal stock returns: the empirical power and specification of test statistics . Journal of Financial Economics , 43 : 341 – 72 .
   Web of Science ®Google Scholar
• Beneish , M and Gardner , J . 1995 . Information costs and liquidity effects from changes in the Dow Jones Industrial Average List . Journal of Financial and Quantitative Analysis , 30 : 135 – 48 .
   Google Scholar
• Beneish , M and Whaley , R . 1996 . An anatomy of the ‘S&P Game’: the effects of changing the rules . Journal of Finance , 51 : 1909 – 30 .
   Web of Science ®Google Scholar
• Chen , H , Noronha , G and Singal , V . 2004 . The price response to S&P 500 index additions and deletions: evidence of asymmetry and a new explanation . Journal of Finance , 59 : 1901 – 29 .
   Web of Science ®Google Scholar
• Denis , D , McConnell , J , Ovtchinnikov , A and Yu , Y . 2003 . S&P 500 Index additions and earnings expectations . Journal of Finance , 58 : 1821 – 40 .
   Web of Science ®Google Scholar
• Desai , H and Jain , P . 1999 . Firm performance and focus: long-run stock market performance following spinoffs . Journal of Financial Economics , 54 : 75 – 101 .
   Web of Science ®Google Scholar
• Dhillon , U and Johnson , H . 1991 . Changes in the Standard and Poor s 500 List . Journal of Business , 64 : 75 – 85 .
   Web of Science ®Google Scholar
• Doeswijk , R . 2005 . The index revision party . International Review of Financial Analysis , 14 : 93 – 112 .
   Google Scholar
• Fama , E . 1998 . Market efficiency, long-term returns and behavioral finance . Journal of Financial Economics , 49 : 283 – 306 .
   Web of Science ®Google Scholar
• Greenwood , R . 2005 . Short- and long-term demand curves for stocks: theory and evidence on the dynamics of arbitrage . Journal of Financial Economics , 75 : 607 – 49 .
   Web of Science ®Google Scholar
• Harris , L and Gurel , E . 1986 . Price and volume effects associated with changes in the S&P 500 List: new evidence for the existence of price pressures . Journal of Finance , 41 : 815 – 29 .
   Web of Science ®Google Scholar
• Jegadeesh , N and Titman , S . 1993 . Returns to buying winners and selling losers: implications for stock market efficiency . Journal of Finance , 48 : 65 – 91 .
   Web of Science ®Google Scholar
• Kaul , A , Hehrotra , V and Morck , R . 2000 . Demand curves for stocks do slope down: new evidence from an index weights adjustment . Journal of Finance , 55 : 893 – 912 .
   Web of Science ®Google Scholar
• Kothari , S and Warner , J . 1997 . Measuring long-horizon security price performance . Journal of Financial Economics , 43 : 301 – 39 .
   Web of Science ®Google Scholar
• Lynch , A and Mendenhall , R . 1997 . New evidence of stock price effects associated with changes in the S&P 500 Index . Journal of Business , 70 : 351 – 83 .
   Web of Science ®Google Scholar
• Lyon , J , Barber , B and Tsai , C-L . 1999 . Improved methods for tests of long-run abnormal stock returns . Journal of Finance , 54 : 165 – 201 .
   Web of Science ®Google Scholar
• Madhavan , A . 2003 . The Russell reconstitution effect . Financial Analysts Journal , 59 : 51 – 64 .
   Web of Science ®Google Scholar
• Madura , J and Nixon , T . 2002 . The long-term performance of parent and units following equity carve-outs . Applied Financial Economics , 12 : 171 – 81 .
   Google Scholar
• Merton , R . 1987 . A simple model of capital market equilibrium with incomplete information . Journal of Finance , 42 : 483 – 510 .
   Web of Science ®Google Scholar
• Pruitt , S and Wei , K . 1989 . Institutional ownership and changes in the S&P 500 . Financial Analysts Journal , 43 : 58 – 65 .
   Google Scholar
• Rouwenhorst , G . 1998 . International momentum strategies . Journal of Finance , 53 : 267 – 84 .
   Web of Science ®Google Scholar
• Shleifer , A . 1986 . Do demand curves for stocks slope downward? . Journal of Finance , 41 : 579 – 90 .
   Web of Science ®Google Scholar
• Vijh , A . 1999 . Long-term returns from equity carveouts . Journal of Financial Economics , 51 : 273 – 308 .
   Google Scholar
• Wurgler , J and Zhuravskaya , E . 2002 . Does arbitrage flatten demand curves for stocks? . Journal of Business , 75 : 583 – 607 .
   Web of Science ®Google Scholar