What's in the News? Information Content of S&P 500 Additions
研究标普500指数成分股新增的信息含量，发现新增公司所在行业和规模匹配的同行公司股价显著上涨但交易量无变化，且同行股价反应与新增公司行业权重负相关，表明指数新增传递了关于该公司及其行业的利好信息。
I investigate the information content of S&P 500 index changes by examining the price and volume reaction of the industry and size matched firms. Using a sample of S&P 500 additions between 1976–2001, I find a significantly positive price reaction, but no volume reaction, for the matching firms. In addition, the matching‐firm price reaction is negatively related to the added firm's weight in its industry. These findings suggest that the index addition conveys favorable information about the added firm and its industry.