existence of momentum anomaly in BIST 100 index during the period July 2008 to June 2015. Jegadeesh and Titman (1993) J month … period and investment period in BIST 100 Index. Results are significant in 9- 12-month momentum investment and 3-6-9-12-month …

We find that the firms included in the S&P 500 index are characterized by large increases in earnings, appreciation in … market value, and positive price momentum in the period preceding their index inclusion. This strong preinclusion performance …, and momentum betas, following index inclusion. Nonevent control firms with similar performance experience similar …

This paper investigates how the introduction of an index security directly or indirectly impacts the underlying-index … spot-futures pricing. Using intraday data for financial instruments related to the CAC 40 index, we do not find that the … shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the …

improvements. The present paper seeks to contribute to this evolution, focusing on the “Global Risk Appetite Index” (GRAI) class of …

This paper compares fundamental index strategies to strategies that start with the market index and then tilt towards … corresponding fundamental index, but have higher Information ratios and lower tracking error. Using the same methodology, we also … show that a modified index strategy that incorporates multiple distinct quantitative factors generates much higher …

We introduce and evaluate the NOVIX - an implied volatility index for the Norwegian equity index OBX. NOVIX is created …

. We are the first to analyze the impact of index replacements and the choice of indexing methodologies on relative … also highlight sensitivities of performance dispersion between different index methodologies by varying mean reversion and … momentum parameters. Mean reversion dominates momentum as the driving force in our setup. For a large-cap index comprising 50 …