Mazouz, Khelifa; Saadouni, Brahim - In: Applied Financial Economics 17 (2007) 6, pp. 501-510
We examine short- and the long-term price effect associated with the FTSE 100 index revisions. We control for both heteroskedastic nature of the residual and the change, between the estimation and the test period, in the beta coefficient of the standard market model. Our findings reveal no...