Credit Rating Purchases and S&P 500 Index Membership Decisions
研究发现标普500指数成员资格决策存在主观性，企业购买标普评级能提高入选概率，而穆迪评级无此效果，且指数空缺会促使企业购买更多标普评级，引发治理担忧。
S&P 500 is commonly used in empirical finance and macroeconomics as a measure of overall capital market sentiment, and the associated VIX is taken as an indicator of economic uncertainty. While both assume that the S&P 500 index is objectively constructed, we show that its membership decisions have a nontrivial amount of discretion unexplained by its published methodology. Importantly, we show that firms’ purchases of S&P ratings appear to improve their chance of entering the index (but purchases of Moody’s ratings do not). Furthermore, openings in index membership tend to motivate firms to purchase more S&P ratings. This is also confirmed by an event study of a 2002 membership rule change. These patterns raise concerns over potential governance issues. This paper was accepted by Will Cong, finance. Supplemental Material: The internet appendix and data files are available at https://doi.org/10.1287/mnsc.2024.08157 .