Trading the changes of stock market index composition: evidence from European markets

Detalhes bibliográficos
Autor(a) principal: Cunha, João Maria Lencastre Marinho da
Data de Publicação: 2016
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/16785
Resumo: This paper studies the changes in European stock market indexes composition from 1995 to 2015. It was found that there are mixed price effects producing abnormal returns around the effective replacement of added and deleted stocks. The price pressure hypothesis seems to hold for added stocks in some indexes but not for deleted stocks as there is not a clear inversion of behaviour after the replacement. Finally, the building and back testing of a trading strategy aiming to capture some of those abnormal returns shows it yields a Sharpe Ratio of 1.4 and generates an annualised alpha of 11%.
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spelling Trading the changes of stock market index composition: evidence from European marketsStock index revisionAdditionsDeletionsEvent studyAbnormal returnsEuropean marketsTrading strategyDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis paper studies the changes in European stock market indexes composition from 1995 to 2015. It was found that there are mixed price effects producing abnormal returns around the effective replacement of added and deleted stocks. The price pressure hypothesis seems to hold for added stocks in some indexes but not for deleted stocks as there is not a clear inversion of behaviour after the replacement. Finally, the building and back testing of a trading strategy aiming to capture some of those abnormal returns shows it yields a Sharpe Ratio of 1.4 and generates an annualised alpha of 11%.Eça, Afonso FuzetaRUNCunha, João Maria Lencastre Marinho da2019-01-30T01:30:15Z2016-012016-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/16785TID:201523566enginfo:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:54:00Zoai:run.unl.pt:10362/16785Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:23:30.817283Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Trading the changes of stock market index composition: evidence from European markets
title Trading the changes of stock market index composition: evidence from European markets
spellingShingle Trading the changes of stock market index composition: evidence from European markets
Cunha, João Maria Lencastre Marinho da
Stock index revision
Additions
Deletions
Event study
Abnormal returns
European markets
Trading strategy
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Trading the changes of stock market index composition: evidence from European markets
title_full Trading the changes of stock market index composition: evidence from European markets
title_fullStr Trading the changes of stock market index composition: evidence from European markets
title_full_unstemmed Trading the changes of stock market index composition: evidence from European markets
title_sort Trading the changes of stock market index composition: evidence from European markets
author Cunha, João Maria Lencastre Marinho da
author_facet Cunha, João Maria Lencastre Marinho da
author_role author
dc.contributor.none.fl_str_mv Eça, Afonso Fuzeta
RUN
dc.contributor.author.fl_str_mv Cunha, João Maria Lencastre Marinho da
dc.subject.por.fl_str_mv Stock index revision
Additions
Deletions
Event study
Abnormal returns
European markets
Trading strategy
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Stock index revision
Additions
Deletions
Event study
Abnormal returns
European markets
Trading strategy
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This paper studies the changes in European stock market indexes composition from 1995 to 2015. It was found that there are mixed price effects producing abnormal returns around the effective replacement of added and deleted stocks. The price pressure hypothesis seems to hold for added stocks in some indexes but not for deleted stocks as there is not a clear inversion of behaviour after the replacement. Finally, the building and back testing of a trading strategy aiming to capture some of those abnormal returns shows it yields a Sharpe Ratio of 1.4 and generates an annualised alpha of 11%.
publishDate 2016
dc.date.none.fl_str_mv 2016-01
2016-01-01T00:00:00Z
2019-01-30T01:30:15Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/16785
TID:201523566
url http://hdl.handle.net/10362/16785
identifier_str_mv TID:201523566
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/embargoedAccess
eu_rights_str_mv embargoedAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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