Cost of Equity and S&P 500 Index Revisions

被引：22
|
作者：
Baran, Lindsay [1 ]
Dolly King, Tao-Hsien [2 ]
机构：
[1] Kent State Univ, Kent, OH 44242 USA
[2] Univ N Carolina, Charlotte, NC 28223 USA
来源：
FINANCIAL MANAGEMENT | 2012年 / 41卷 / 02期
关键词：
GROWTH OPPORTUNITIES; INFORMATION-CONTENT; PRICE PRESSURE; CROSS-SECTION; LIQUIDITY; ADDITIONS; MARKET; ASYMMETRY; DELETIONS; RETURNS;
D O I：
10.1111/j.1755-053X.2012.01186.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We examine how the cost of equity changes when firms are added to or removed from the S&P 500 Index during index revisions. Newly added firms experience a significant decline in the cost of equity, while recently removed firms show a significant increase. Liquidity improves for addition firms and declines for removed firms. Addition firms also experience a decline in shadow cost. Changes in cost of equity for included firms are explained by changes in liquidity, shadow cost, and firm size. Finally, included firms with greater investment opportunities benefit more from the reduction in cost of capital.
引用
收藏
页码：457 / 481
页数：25
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