Abstract
This study examines whether significant excess returns accrue to the shareholders of firms coming in and out of the FTSE around the day of the FTSE Steering Committee Meeting. It appears that there is a gradual rise in cumulative excess returns for firms entering the FTSE about nine days before the Steering Committee Meeting takes place. There is slight positive gain in price for firms entering the FTSE. The findings of the study indicate that firms going out of the FTSE experience negative excess returns three days prior to the Steering Committee Meeting, as well as significant abnormal trading activity on some days following the meeting.
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