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- W3023809336 abstract "We employ the Barberis et al. (2005) methodology to investigate the impact of changes to the FTSE 100 index on return comovement 1992-2002. For FTSE entries, the average weekly increase in the beta coefficient is 0.38 in univariate regressions and 0.60 in bivariate regressions that control for the return on non-FTSE stocks. Stocks deleted from the index display the opposite pattern post exit. The results are robust to a number of factors including size, industry and non-trading effects. They are difficult to explain within a classical framework but complement those found for the USA, Japan and Canada in supporting behavioural finance views of comovement.(This abstract was borrowed from another version of this item.)" @default.
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- W3023809336 date "2004-01-01" @default.
- W3023809336 modified "2023-09-23" @default.
- W3023809336 title "Comovement and FTSE 100 Index Changes" @default.
- W3023809336 hasPublicationYear "2004" @default.
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