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    Index revisions, market quality and the cost of equity capital.

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    Final submition Wael Aldaya.pdf (3.011Mb)
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    Publication date
    2013-11-20
    Author
    Aldaya, Wael H.
    Supervisor
    Mazouz, Khelifa
    Freeman, Mark C.
    Keyword
    Index revisions
    Stock liquidity
    Cost of capital
    Market quality
    Price efficiency
    Stock market quality
    Rights
    Creative Commons License
    The University of Bradford theses are licenced under a Creative Commons Licence.
    Institution
    University of Bradford
    Department
    School of Management
    Awarded
    2012
    
    Metadata
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    Abstract
    This thesis examines the impact of FTSE 100 index revisions on the various aspects of stock market quality and the cost of equity capital. Our study spans over the period 1986¿2009. Our analyses indicate that the index membership enhances all aspects of liquidity, including trading continuity, trading cost and price impact. We also show that the liquidity premium and the cost of equity capital decrease significantly after additions, but do not exhibit any significant change following deletions. The finding that investment opportunities increases after additions, but do not decline following deletions suggests that the benefits of joining an index are likely to be permanent. This evidence is consistent with the investor awareness hypothesis view of Chen et al. (2004, 2006), which suggests that investors¿ awareness improve when a stock becomes a member of an index, but do not diminish after it is removal from the index. Finally, we report significant changes in the comovement of stock returns with the FTSE 100 index around the revision events. These changes are driven mainly by noise-related factors and partly by fundamental-related factors.
    URI
    http://hdl.handle.net/10454/5687
    Type
    Thesis
    Qualification name
    PhD
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    Theses

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