Cost of Equity and S&P 500 Index Revisions
研究标普500指数调整期间，股票被纳入或剔除如何影响其股权资本成本，发现纳入后成本显著下降、流动性改善，剔除后则相反，且投资机会多的公司受益更大。
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.