providers get a significant abnormal return by trading against index trackers. The return is highest for bonds that are excluded … profitable than at inclusions because index trackers follow a sampling strategy and returns also increase when liquidity … provision becomes more expensive. Furthermore, price reactions following index changes are reversed shortly after the event date …

consistency of those estimates and illustrate their good performance for light- and heavy-tailed distributions of the innovations …

consistency of those estimates and illustrate their good performance for light- and heavy-tailed distributions of the innovations … ; uniform consistency ; value at risk …

sorting estimator is consistent and asymptotically normal, and we also establish consistency of both the Fama-MacBeth variance …