S&P 500 Index Additions and Earnings Expectations

By Diane K. Denis, John J. McConnell, Alexei V. Ovtchinnikov, Yun-Lin Yu. 2003

391 citations recorded by the source corpus.

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What Drives the S&P 500 Inclusion Effect? An Analytical Survey (2006, methodology): “To test the improved operating performance hypothesis of Denis et al. (2003), we use their method to calculate the change in earnings expectations for the current year and the yearahead forecast, standardized by EPS.”
The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation (2004, background): “The rise in awareness is consistent with Denis et al. (2003), who find that intensified monitoring makes the added firm more efficient.”
Style-Related Comovement: Fundamentals or Labels? (2011, background): “In fact, Denis et al. (2003), argue that inclusion in the S&P 500 actually causes fundamentals to change.”
Price and Volume Effects of Changes in MSCI indices – Nature and Causes (2005, neutral): “For a direct test of the information hypothesis, we take an approach similar to that of Denis et al (2003).”