Biktimirov, Ernest; Li, Boya - In: Review of Quantitative Finance and Accounting 42 (2014) 1, pp. 95-122
We examine market reactions to changes in the FTSE SmallCap index membership, which are determined quarterly based on market capitalization and are free of information effects. Our main results are asymmetric price and liquidity responses between the firms that are shifted between FTSE indexes...
