In this paper we examine effect on the returns of firms that have been included to
and deleted from the FTSE 100 over the time period of 1984-2001. Like the S&P
500 listing studies, we find that the price and trading volume of newly listed
(deleted) firms increases (decreases). The evidence is consistent with the
information cost/liquidity explanation. This is because investors hold stocks with
more (less) available information, consequently implying that they have lower
(higher) trading costs. This explains the increase (decrease) in the stock price and
trading volume of newly listed (deleted) stocks to (from) the FTSE 100 List