Mazouz, Khelifa; Daya, Wael; Yin, Shuxing - In: Journal of International Financial Markets, … 33 (2014) C, pp. 283-298
This study investigates the impact of FTSE100 index revisions on firms’ systematic liquidity risk and the cost of equity capital. We show that index membership enhances all aspects of liquidity, whereas stocks that leave the index exhibit no significant liquidity change. We also show that the...