Compositional changes in the FTSE100 index from the standpoint of an arbitrageur
(2013)
Journal Article
Opong, K., & Siganos, A. (2013). Compositional changes in the FTSE100 index from the standpoint of an arbitrageur. Journal of Asset Management, 14(2), 120-132. https://doi.org/10.1057/jam.2013.8
We explore the profitability of a strategy that is based on the quarterly addition/deletion revisions of the FTSE100 index and of a strategy that is based on the irregular additions of reserve companies on the list of firms to be included in the FTSE... Read More about Compositional changes in the FTSE100 index from the standpoint of an arbitrageur.