Fernandes, Marcelo; Mergulhão, João Filipe Bernardes … - Escola de Economia de São Paulo (EESP), Fundação … - 2013
This paper examines the price impact of trading due to expected changes in the FTSE 100 index composition. We focus on the latter index because it employs publicly- known objective criteria to determine membership and hence it provides a natural context to investigate anticipatory trading e...