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...

This study compares the efficacy of Black–Scholes implied volatility (BSIV) with model-free implied volatility (MFIV) in providing volatility forecasts for 13 North American, European, and Asian stock market indexes: S&P 500 (United States), S&P/ASX 200 (Australia), S&P/TSX 60 (Canada), AEX...

We examine market responses to changes in the Nasdaq 100 index membership and find asymmetric stock price and investor awareness reactions. Stocks added to the Nasdaq 100 index for the first time experience permanent price gains and significant increases in investor awareness, whereas repeated...

Purpose − The purpose of this study is to examine changes in stock returns, liquidity, institutional ownership, analyst following, and investor awareness for companies added to and deleted from the Dow Jones Industrial Average (DJIA) index. Previous studies report conflicting evidence...

To examine whether investors value environmental sustainability, we analyze stock market reactions of the firms added to or deleted from the FTSE Environmental Opportunities 100 index (FTSE EO 100). Firms added to the FTSE EO 100 that were not previously in the FTSE EO and firms removed from the...