Index revisions, systematic liquidity risk and the cost of equity capital

Mazouz, K., Daya, W. and Yin, S. (2014) Index revisions, systematic liquidity risk and the cost of equity capital. Journal of International Financial Markets, Institutions and Money, 33. 283 - 298. ISSN 1042-4431

Abstract

Metadata

Authors/Creators:
  • Mazouz, K.
  • Daya, W.
  • Yin, S.
Copyright, Publisher and Additional Information: © 2014 Elsevier. This is an author produced version of a paper subsequently published in Journal of International Financial Markets, Institutions and Money. Uploaded in accordance with the publisher's self-archiving policy.
Keywords: Cost capital; FTSE 100 index revision; Liquidity risk premium; Stock liquidity
Dates:
  • Published: 1 December 2014
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Sheffield University Management School
Depositing User: Symplectic Sheffield
Date Deposited: 22 Dec 2014 10:54
Last Modified: 20 Apr 2015 16:05
Published Version: http://dx.doi.org/10.1016/j.intfin.2014.07.009
Status: Published
Publisher: Elsevier Ltd
Refereed: No
Identification Number: https://doi.org/10.1016/j.intfin.2014.07.009

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