Inclusion in Thematic Indices: Implications for Corporate Investment and Executive Compensation
研究股票被纳入主题指数如何通过影响信息不对称，改变企业投资决策和高管股票薪酬，发现中等信息不对称时企业增加投资以降低股东损失和薪酬风险，而信息不对称极低或极高时则减少投资。
Empirical studies have found that stock index inclusion leads to more market attention. This paper examines how the public information triggered by index inclusion affects firm investments and stock-based management compensation. Using an agency model with a costly investment project that increases the probability of index inclusion, I demonstrate that thematic indices create incentives for investment and managerial actions if there is an intermediate level of information asymmetry between a speculator and the public. Firms invest more to reduce the expected loss of shareholders to the speculator and lower the manager's compensation risk. In contrast, if the information asymmetry is very low or very high and liquidity trading introduces little noise, shareholders' losses to the speculator are already low for firms outside the index, and the additional information increases the stock price variance and compensation risk. Hence, the firm invests less to avoid index inclusion. The same forces are at play in an extension with an investment that reduces the firm's inclusion probability. Consequently, the board adjusts the investment level in the opposite direction.