تغییرات بهره وری اطلاعات بر اساس تجدید نظرهای شاخص FTSE 100

This study examines the impact of FTSE 100 index revisions on the informational efficiency of the underlying stocks. Our study spans the 1986–2009 period. We estimate the speed of price adjustment and price inefficiency from the partial adjustment with noise model of Amihud and Mendelson (1987). We report a significant improvement (no change) in the informational efficiency of the stocks added to (deleted from) the FTSE 100 index. The asymmetric effect of additions and deletions on informational efficiency can be attributed, at least partly, to certain aspects of liquidity and other fundamental characteristics, which improve following additions but do not diminish after deletions. Cross-sectional analysis also indicates that stocks with low pre-addition market quality benefit more from joining the index.

This study examines the impact of FTSE 100 index revisions on the informational efficiency of the underlying stocks. It contributes to the literature in three important ways. First, whilst previous studies consistently find that there are price gains, increases in investor awareness, and long-term improvements in stock liquidity following additions, this paper proposes a new approach to consider in detail whether index members also benefit from greater informational efficiency. Second, whilst most studies find that stock prices and liquidity fall following index deletions, others show that the advantages of gaining membership remain unaffected even after removal from the index. We extend this debate by examining whether the informational efficiency of a stock is reduced after removal from the index. Finally, we are able to explain the key determinants of informational efficiency changes around the time of joining and leaving the index. The impact of FTSE 100 index revisions on the market quality of the underlying stocks is assessed by comparing two measures of informational efficiency across pre- and post-index revision periods. First, we use Amihud and Mendelson's (1987) technique to estimate the speed at which information is incorporated into the stock price. We then use the price inefficiency index developed by Chelley-Steeley (2008) to capture the degree to which stock prices deviate from their intrinsic values. We adopt a control sample approach to ensure that our results are not driven by factors other than the index revisions. Finally, we conduct cross-sectional analysis to identify the main determinants of the informational efficiency changes. We find that the informational efficiency of a stock added to the FTSE 100 index is improved. However, deletions do not exhibit any significant changes in the speed of price adjustment or pricing inefficiency. The asymmetric response of market quality to additions and deletions can partly be attributed to certain aspects of liquidity and other fundamental characteristics, which improve following additions, but do not always diminish after deletions. This result is also consistent with Chen et al. (2004) who show that investors’ awareness increases when a stock joins the S&P 500, but does not decrease following its deletion from the index. Our cross-sectional analysis indicates that stocks with low pre-addition informational efficiency benefit more from joining the index. This evidence is in line with Roll et al.’s (2009) finding that information production following options listing is larger in stocks where information asymmetries are the greatest. We also show that changes in informational efficiency are significantly related to changes in the information environment, idiosyncratic risk, liquidity and book-to-market value. The remainder of the paper is organized as follows. Section 2 provides a brief review of the related literature and states the hypotheses to be tested. Section 3 presents the methodology. Section 4 describes our data. Section 5 presents and discusses the empirical findings and Section 6 concludes.

The Kalman filter technique that we employ in this paper allows us to estimate the stock's price adjustment parameter (g) and its intrinsic value (vtvt) from the partial adjustment with noise model of Amihud and Mendelson (1987). These parameters are then used to compute the pricing inefficiency index, which measures the extent to which transaction prices deviate from their intrinsic value. The partial adjustment coefficient and price inefficiency metrics are used to examine the impact of addition to (deletion from) the FTSE 100 index on informational efficiency. We also use a control sample to ensure that our results are not driven by other market index factors. Our results show that market quality improves after additions, but does not deteriorate following deletions. This asymmetric effect can be attributed, at least partly, to certain firm characteristics, such as idiosyncratic risk, trading volume and Lexis/Nexis, which improve following additions, but do not experience any significant change after deletions. Cross-sectional analysis also indicates that stocks with low pre-addition market quality benefit more from becoming members of the index. This evidence is consistent with Roll et al.’s (2009) findings that information production following options listing is larger in stocks where information asymmetries are greater and where investment analysis produces comparatively less public information.