S&P 500 Index additions and earnings expectations

• 成果类型: Article
• 署名作者: Denis, DK; McConnell, JJ; Ovtchinnikov, AV; Yu, Y
• 署名单位: Purdue University System; Purdue University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00589
• 发表日期: 2003
• 页码: 1821-1840
• 关键词: DEMAND CURVES; price

摘要

Stock price increases associated with addition to the S&P 500 Index have been interpreted as evidence that demand curves for stocks slope downward. A key premise underlying this interpretation is that Index inclusion provides no new information about companies' future prospects. We examine this premise by analyzing analysts' earnings per share (eps) forecasts around Index inclusion and by comparing postinclusion realized earnings to preinclusion forecasts. Relative to benchmark companies, companies newly added to the Index experience significant increases in eps forecasts and significant improvements in realized earnings. These results indicate that S&P Index inclusion is not an information-free event.