Stock price and volume effects associated with changes in the composition of the FTSE Bursa Malaysian KLCI

We examine the stock price and volume effects associated with changes in the composition of the FTSE Bursa Malaysia Kuala Lumpur Composite Index (KLCI), over the time period of 2005–2012. We find evidence to support the price pressure hypothesis for both additions to and deletions from the KLCI. This is because significant stock price and trading volume effects in the pre index revision period are entirely reversed after the announcement of the news. Our empirical findings can be explained by the market microstructure literature. Significant changes in liquidity cause trading volume and stock prices to reverse back to their original level before the index revisions took place.

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

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%.

Market reactions to changes in the Nasdaq-100 Index membership

We examine stock market reactions around the Nasdaq-100 Index reconstitutions. We find a symmetric and transitory price response accompanied by a significant increase in trading volume on the effective date. Firms added to the Nasdaq-100 Index experience significant increases in institutional ownership, the number of market makers, and the number of shareholders. In contrast, firms removed from the index show significant decreases in the number of institutional shareholders. Additions to the Nasdaq-100 Index also show significant increases in four liquidity measures, whereas deletions demonstrate significant decreases in two liquidity measures. These changes in liquidity are related to the abnormal return on the announcement day. Taken together, the results suggest support for the price pressure, liquidity, and investor awareness hypotheses.

Estudo exploratório sobre os motivos que levam as empresas a recomprarem suas próprias ações

Através de estudo de evento este trabalho analisa o impacto provocado pelo anúncio de recompra de ações sobre os seus próprios preços, utilizando como referência, as empresas que anunciaram aquisição de ações de sua emissão, através de publicação de fato relevante na Comissão de Valores Mobiliário (CVM), nos exercícios de 2003 a 2009. O estudo pressupõe eficiência de mercado na sua forma semi-forte e identifica retorno anormal, estatisticamente significativo na data um do evento, ou seja, um dia após o anúncio. Os retornos acumulados de três dias são regredidos contra dados da recompra e os resultados reforçam a hipótese de sinalização, já sugerida pela análise do gráfico do retorno anormal acumulado, com os retornos indicando alta decorrente de pressão de preços. Os modelos de regressão utilizados, incluindo variáveis contábeis associadas a outras hipóteses explicativas, não encontram resultados significativos que dêem suporte a outras possíveis motivações propostas na literatura acadêmica.

The performance effects of composition changes on sector specific stock indices: The case of European listed real estate

This paper examines the impact of changes in the composition of real estate stock indices, considering companies both joining and leaving the indices. Stocks that are newly included not only see a short-term increase in their share price, but trading volumes increase in a permanent fashion following the event. This highlights the importance of indices in not only a benchmarking context but also in enhancing investor awareness and aiding liquidity. By contrast, as anticipated, the share prices of firms removed from indices fall around the time of the index change. The fact that the changes in share prices, either upwards for index inclusions or downwards for deletions, are generally not reversed, would indicate that the movements are not purely due to price pressure, but rather are more consistent with the information content hypothesis. There is no evidence, however, that index changes significantly affect the volatility of price changes or their operating performances as measured by their earnings per share.

Stock market reactions to changes in the FTSE SmallCap and S&P/TSX SmallCap indices

Stocks added to (deleted from) the Russell 2000 and the S&P 600 indexes experience positive (negative) abnormal returns following the announcement. However, researchers disagree on whether these abnormal returns are permanent or temporary and offer competing explanations. I address this controversy by examining market reactions for firms that are added to or deleted from the FTSE Small Cap index (the main testing sample) and the S&P/TSX SmallCap index (the comparison sample). For the main testing sample, all stocks except pure additions, experience a permanent price change that is accompanied by a permanent change in liquidity. However, for the comparison sample, abnormal returns over the announcement period fully reverted within 30 days. In further examination of stock liquidity for the main testing sample, sample stocks experience permanent change in liquidity. Taken together, the observed results support the price pressure and liquidity hypotheses.

The dynamics of asset prices and transaction activity in illiquid markets: the case of private commercial real estate

This paper investigates the relationship between capital flows, turnover and returns for the UK private real estate market. We examine a number of possible implication of capital flows and turnover on capital returns testing for evidence of a price pressure effect, ‘return chasing’ behaviour and information revelation. The main tool of analysis is a panel vector autoregressive (VAR) regression model in which institutional capital flows, turnover and returns are specified as endogenous variables in a two equation system in which we also control for macro-economic variables. Data on flows, turnover and returns are obtained for the 10 market segments covering the main UK commercial real estate sectors. Our results do not support the widely-held belief among practitioners that capital flows have a ‘price pressure’ effect. Although there is some evidence of return chasing behaviour, the short timescales involved suggest this finding may be due to delayed recording of flows relative to returns given the difficulties of market entry. We find a significant positive relationship between lagged turnover and contemporaneous capital returns, suggesting that asset turnover provides pricing information.

Anticipatory effects in the FTSE 100 index revisions

This paper examines the price impact of trading due to expected changes in the FTSE 100 index composition. We focus on the latter index because it employs publicly-known objective criteria to determine membership and hence it provides a natural context to investigate anticipatory trading e ects. We propose a panel-regression event study that backs out these anticipatory e ects by looking at the price impact of the ex-ante proba-bility of changing index membership status. Our ndings reveal that anticipative trading explains about 40% and 23% of the cumulative abnormal returns of additions and deletions, respectively. We con rm these in-sample results out of sample by tracking the performance of a trading strategy that relies on the addition/deletion probability estimates. The perfor-mance is indeed very promising in that it entails an average daily excess return of 11 basis points over the FTSE 100 index.

Glucocorticoid receptor haploinsufficiency causes hypertension and attenuates hypothalamic-pituitary-adrenal axis and blood pressure adaptions to high-fat diet

Glucocorticoid hormones are critical to respond and adapt to stress. Genetic variations in the glucocorticoid receptor (GR) gene alter hypothalamic-pituitary-adrenal (HPA) axis activity and associate with hypertension and susceptibility to metabolic disease. Here we test the hypothesis that reduced GR density alters blood pressure and glucose and lipid homeostasis and limits adaption to obesogenic diet. Heterozygous GR βgeo/+ mice were generated from embryonic stem (ES) cells with a gene trap integration of a β-galactosidase-neomycin phosphotransferase (βgeo) cassette into the GR gene creating a transcriptionally inactive GR fusion protein. Although GRβgeo/+ mice have 50% less functional GR, they have normal lipid and glucose homeostasis due to compensatory HPA axis activation but are hypertensive due to activation of the renin-angiotensin- aldosterone system (RAAS). When challenged with a high-fat diet, weight gain, adiposity, and glucose intolerance were similarly increased in control and GRβgeo/+ mice, suggesting preserved control of intermediary metabolism and energy balance. However, whereas a high-fat diet caused HPA activation and increased blood pressure in control mice, these adaptions were attenuated or abolished in GRβgeo/+ mice. Thus, reduced GR density balanced by HPA activation leaves glucocorticoid functions unaffected but mineralocorticoid functions increased, causing hypertension. Importantly, reduced GR limits HPA and blood pressure adaptions to obesogenic diet.

Fatigue crack growth under pulsatile pressure and plaque rupture

Identification of vulnerable plaque pre-rupture is extremely important for patient risk stratification. The mechanism of plaque rupture is still not entirely clear, but it is thought to be a process involving multiple factors. From a biomechanical viewpoint, plaque rupture is usually seen as a structural failure when the plaque cannot resist the hemodynamic blood pressure and shear stress exerted on it. However, the cardiovascular system is naturally a cyclical hemodynamic environment, and myocardial infarction can be a symptomatically quiescent but potentially progressive process when plaque ruptures at stresses much lower than its strength. Therefore, fatigue accumulation is a possible mechanism for plaque rupture. In this study, a crack growth model was developed, and the previously-mentioned hypothesis was tested by conducting a comparative study between 18 symptomatic and 16 asymptomatic patients with carotid stenosis.

Transitional intermittency in boundary layers subjected to pressure gradient

Results are reported from an extensive series of experiments on boundary layers in which the location of pressure gradient and transition onset could be varied almost independently, by judicious use of tunnel wall liners and transition-fixing devices. The experiments show that the transition zone is sensitive to the pressure gradient especially near onset, and can be significantly asymmetric; no universal similarity appears valid in general. Observed intermittency distributions cannot be explained on the basis of the hypothesis, often made, that the spot propagates at speeds proportional to the local free-stream velocity but is otherwise unaffected by the pressure gradient.

Neck length and mean arterial pressure in the sauropod dinosaurs

How blood was able to reach the heads of the long-necked sauropod dinosaurs has long been a matter of debate and several hypotheses have been presented. For example, it has been proposed that sauropods had exceptionally large hearts, multiple ‘normal’ sized hearts spaced at regular intervals up the neck or held their necks horizontal, or that the siphon effect was in operation. By means of an experimental model, we demonstrate that the siphon principle is able to explain how blood was able to adequately perfuse the sauropod brain. The return venous circulation may have been protected from complete collapse by a structure akin to the vertebral venous plexus. We derive an equation relating neck height and mean arterial pressure, which indicates that with a mean arterial pressure similar to that of the giraffe, the maximum safe vertical distance between heart and head would have been about 12 m. A hypothesis is presented that the maximum neck length in the fossil record is due to the siphon height limit. The equation indicates that to migrate over high ground, sauropods would have had to either significantly increase their mean arterial pressure or keep their necks below a certain height dependent on altitude.

Test of the Clustering Hypothesis in the Helsinki Exchanges

This paper investigates the clustering pattern in the Finnish stock market. Using trading volume and time as factors capturing the clustering pattern in the market, the Keim and Madhavan (1996) and the Engle and Russell (1998) model provide the framework for the analysis. The descriptive and the parametric analysis provide evidences that an important determinant of the famous U-shape pattern in the market is the rate of information arrivals as measured by large trading volumes and durations at the market open and close. Precisely, 1) the larger the trading volume, the greater the impact on prices both in the short and the long run, thus prices will differ across quantities. 2) Large trading volume is a non-linear function of price changes in the long run. 3) Arrival times are positively autocorrelated, indicating a clustering pattern and 4) Information arrivals as approximated by durations are negatively related to trading flow.

A method for the calculation of the adsorbed phase volume and pseudo-saturation pressure from adsorption isotherm data on activated carbon

We propose a new method for evaluating the adsorbed phase volume during physisorption of several gases on activated carbon specimens. We treat the adsorbed phase as another equilibrium phase which satisfies the Gibbs equation and hence assume that the law of rectilinear diameters is applicable. Since invariably the bulk gas phase densities are known along measured isotherms, the constants of the adsorbed phase volume can be regressed from the experimental data. We take the Dubinin-Astakhov isotherm as the model for verifying our hypothesis since it is one of the few equations that accounts for adsorbed phase volume changes. In addition, the pseudo-saturation pressure in the supercritical region is calculated by letting the index of the temperature term in Dubinin's equation to be temperature dependent. Based on over 50 combinations of activated carbons and adsorbates (nitrogen, oxygen, argon, carbon dioxide, hydrocarbons and halocarbon refrigerants) it is observed that the proposed changes fit experimental data quite well.

Time Correlations Of Pressure In Isotropic Turbulence

The time correlations of pressure modes in stationary isotropic turbulence are investigated under the Kraichnan and Tennekes "random sweeping" hypothesis. A simple model is obtained which predicts a universal form for the time correlations. It implies that the decorrelation process of pressure fluctuations in time is mainly dominated by the sweeping velocity, and the pressure correlations have the same decorrelation time scales as the velocity correlations. These results are verified using direct numerical simulations of isotropic turbulence at two moderate Reynolds numbers; the mode correlations collapse to the universal form when the time separations are scaled by wavenumber times the sweeping velocity, and the ratios of the correlation coefficients of pressure modes to those of velocity modes are approximately unity for the entire range of time separation. (c) 2008 American Institute of Physics.