Analyst responses to stock-index adjustments: Evidence from MSCI Taiwan Index additions
Using data from MSCI Taiwan Index adjustments, we study analyst responses to stock additions from 1999 to 2007. The empirical results show that the magnitudes of changes in analysts' earnings-per-share forecasts are similar to those of their two benchmarks for new additions to the index. Therefore, in our sample we find no significant information effect from the additions. We also find that the absolute forecast errors made by analysts are smaller for new additions and those foreign analysts are more accurate than local analysts. This finding demonstrates that new additions to the index exhibit significant performance improvements.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Shleifer, Andrei, 1986. " Do Demand Curves for Stocks Slope Down?," Journal of Finance, American Finance Association, vol. 41(3), pages 579-90, July.
- Kee-Hong Bae & Rene M. Stulz & Hongping Tan, 2005.
"Do Local Analysts Know More? A Cross-Country Study of the Performance of Local Analysts and Foreign Analysts,"
NBER Working Papers
11697, National Bureau of Economic Research, Inc.
- Bae, Kee-Hong & Stulz, René M. & Tan, Hongping, 2008. "Do local analysts know more? A cross-country study of the performance of local analysts and foreign analysts," Journal of Financial Economics, Elsevier, vol. 88(3), pages 581-606, June.
- Bae, Kee-Hong & Stulz, Rene M. & Tan, Hongping, 2006. "Do Local Analysts Know More? A Cross-Country Study of the Performance of Local Analysts and Foreign Analysts," Working Paper Series 2005-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Feng Gu & Weimin Wang, 2005. "Intangible Assets, Information Complexity, and Analysts' Earnings Forecasts," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(9-10), pages 1673-1702.
- Harald Hau, 2001. "Location Matters: An Examination of Trading Profits," Journal of Finance, American Finance Association, vol. 56(5), pages 1959-1983, October.
- Froot, Kenneth A. & O'Connell, Paul G. J. & Seasholes, Mark S., 2001.
"The portfolio flows of international investors,"
Journal of Financial Economics,
Elsevier, vol. 59(2), pages 151-193, February.
- Christopher J. Malloy, 2005. "The Geography of Equity Analysis," Journal of Finance, American Finance Association, vol. 60(2), pages 719-755, 04.
- Jeffrey Wurgler & Ekaterina Zhuravskaya, 2000.
"Does Arbitrage Flatten Demand Curves for Stocks?,"
Yale School of Management Working Papers
ysm152, Yale School of Management, revised 01 Nov 2001.
- Diane K. Denis & John J. McConnell & Alexei V. Ovtchinnikov & Yun Yu, 2003. "S&P 500 Index Additions and Earnings Expectations," Journal of Finance, American Finance Association, vol. 58(5), pages 1821-1840, October.
- Brennan, Michael J & Cao, H Henry, 1997.
" International Portfolio Investment Flows,"
Journal of Finance,
American Finance Association, vol. 52(5), pages 1851-80, December.
- Chakrabarti, Rajesh & Huang, Wei & Jayaraman, Narayanan & Lee, Jinsoo, 2005. "Price and volume effects of changes in MSCI indices - nature and causes," Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1237-1264, May.
- Conroy, Robert M. & Harris, Robert S., 1995. "Analysts' earnings forecasts in Japan: Accuracy and sell-side optimism," Pacific-Basin Finance Journal, Elsevier, vol. 3(4), pages 393-408, December.
- Harris, Lawrence E & Gurel, Eitan, 1986. " Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures," Journal of Finance, American Finance Association, vol. 41(4), pages 815-29, September.
- Greenwood, Robin, 2005. "Short- and long-term demand curves for stocks: theory and evidence on the dynamics of arbitrage," Journal of Financial Economics, Elsevier, vol. 75(3), pages 607-649, March.
- Dhillon, Upinder & Johnson, Herb, 1991. "Changes in the Standard and Poor's 500 List," The Journal of Business, University of Chicago Press, vol. 64(1), pages 75-85, January.
- Aditya Kaul & Vikas Mehrotra & Randall Morck, 2000.
"Demand Curves for Stocks "Do "Slope Down: New Evidence from an Index Weights Adjustment,"
Journal of Finance,
American Finance Association, vol. 55(2), pages 893-912, 04.
- Aditya Kaul & Vikas Mehrotra & Randall Morck, 1999. "Demand Curves for Stocks Do Slope Down: New Evidence From An Index Weights Adjustment," Harvard Institute of Economic Research Working Papers 1884, Harvard - Institute of Economic Research.
- Okada, Katsuhiko & Isagawa, Nobuyuki & Fujiwara, Kenya, 2006. "Addition to the Nikkei 225 Index and Japanese market response: Temporary demand effect of index arbitrageurs," Pacific-Basin Finance Journal, Elsevier, vol. 14(4), pages 395-409, September.
When requesting a correction, please mention this item's handle: RePEc:eee:revfin:v:21:y:2012:i:2:p:82-89. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.