Daya, Wael; Mazouz, Khelifa; Freeman, Mark - In: Journal of International Financial Markets, … 22 (2012) 4, pp. 1054-1069
This study examines the impact of FTSE 100 index revisions on the informational efficiency of the underlying stocks. Our study spans the 1986–2009 period. We estimate the speed of price adjustment and price inefficiency from the partial adjustment with noise model of Amihud and Mendelson...
