| Full text | |
| Author(s): |
Total Authors: 2
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| Affiliation: | [1] FGV, Sao Paulo Sch Econ, Rua Itapeva 474, Off 1212, BR-01322000 Sao Paulo, SP - Brazil
[2] Queen Mary Univ London, London - England
Total Affiliations: 2
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| Document type: | Journal article |
| Source: | JOURNAL OF EMPIRICAL FINANCE; v. 37, p. 79-90, JUN 2016. |
| Web of Science Citations: | 2 |
| Abstract | |
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. (C) 2016 Elsevier B.V. All rights reserved. (AU) | |
| FAPESP's process: | 13/22930-0 - Price discovery in high-dimensional arbitrage portfolios |
| Grantee: | Pedro Luiz Valls Pereira |
| Support Opportunities: | Research Projects - Thematic Grants |