TY - JOUR
T1 - Information costs and liquidity effects from changes in the FTSE 100 list
AU - Gregoriou, A
AU - Ioannidis, Christos
PY - 2006
Y1 - 2006
N2 - In this paper we examine the stock price effect of changes in the composition of the FTSE 100 over the time period of 1984–2001. Like the S&P 500 listing studies, we find that the price and trading volume of newly listed firms increases. The evidence is consistent with the information cost/liquidity explanation. This is because investors hold stocks with more available information, implying that they have lower trading costs. This explains the increase in the stock price and trading volume of newly listed stocks to the FTSE 100 List. We find the reverse effect for the deletions from the FTSE 100.
AB - In this paper we examine the stock price effect of changes in the composition of the FTSE 100 over the time period of 1984–2001. Like the S&P 500 listing studies, we find that the price and trading volume of newly listed firms increases. The evidence is consistent with the information cost/liquidity explanation. This is because investors hold stocks with more available information, implying that they have lower trading costs. This explains the increase in the stock price and trading volume of newly listed stocks to the FTSE 100 List. We find the reverse effect for the deletions from the FTSE 100.
UR - https://www.tandfonline.com/doi/full/10.1080/13518470500249340
U2 - 10.1080/13518470500249340
DO - 10.1080/13518470500249340
M3 - Article
SN - 1351-847X
VL - 12
SP - 347
EP - 360
JO - European Journal of Finance
JF - European Journal of Finance
IS - 4
ER -