Index Creation, Information Changes, and Financing*
研究股票指数纳入如何影响公司融资，发现被纳入指数后公司发行更多公开债券而非股权，导致杠杆率持续上升，且这一效应在信息环境较弱的国家更显著。
ABSTRACT We study how stock index inclusion affects corporate financing using a global sample of 198 index events—primarily new index launches—across 21 markets. Firms added to indexes issue more public debt but not equity, leading to a sustained increase in leverage. Inclusion draws greater attention from analysts and the media and increases the likelihood of receiving credit ratings. As a result, indexed firms benefit from more liquid bond markets and lower yield spreads, prompting greater reliance on public debt. Consistent with an information‐driven mechanism, leverage responses are strongest in countries with weaker information environments. However, these information gains do not enhance stock price informativeness: bid‐ask spreads, price impact measures, post‐earnings announcement drift, and the implied cost of equity remain unchanged—likely because of the growing presence of information‐insensitive passive investors.