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...

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...