Credit Rating Purchases and S&P 500 Index Membership Decisions

References

• Baghai RP, Becker B (2018) Non-rating revenue and conflicts of interest. J. Financial Econom. 127(1):94–112.Crossref, Google Scholar
• Barberis N, Shleifer A (2003) Style investing. J. Financial Econom. 68(2):161–199.Crossref, Google Scholar
• Barberis N, Shleifer A, Wurgler J (2005) Comovement. J. Financial Econom. 75(2):283–317.Crossref, Google Scholar
• Becker B, Milbourn T (2011) How did increased competition affect credit ratings? J. Financial Econom. 101(3):493–514.Crossref, Google Scholar
• Ben-David I, Franzoni F, Moussawi R (2018) Do ETFs increase volatility. J. Finance 73(6):2471–2535.Crossref, Google Scholar
• Beneish MD, Whaley RE (1996) An anatomy of the S&P game: The effects of changing the rules. J. Finance 51(5):1909–1930.Google Scholar
• Bennett B, Stulz RM, Wang Z (2020) Does joining the SP 500 index hurt firms? NBER Working Paper No. 27593, National Bureau of Economic Research, Cambridge, MA.Google Scholar
• Chang Y-C, Hong H, Liskovich I (2014) Regression discontinuity and the price effects of stock market indexing. Rev. Financial Stud. 28(1):212–246.Crossref, Google Scholar
• Chen H, Noronha G, Singal V (2004) The price response to S&P 500 index additions and deletions: Evidence of asymmetry and a new explanation. J. Finance 59(4):1901–1929.Crossref, Google Scholar
• Chen H, Singal V, Whitelaw R (2016) Comovement revisited. J. Financial Econom. 121(3):624–644.Crossref, Google Scholar
• Cong LW, Xu DX (2016) Rise of factor investing: Asset prices, informational efficiency, and security design. Preprint, submitted June 29, https://doi.org/10.2139/ssrn.2800590.Google Scholar
• Daniel K, Grinblatt M, Titman S, Wermers R (1997) Measuring mutual fund performance with characteristic-based benchmarks. J. Finance 52(3):1035–1058.Crossref, Google Scholar
• Denis D, McConnell J, Ovtchinnikov A, Yu Y (2003) S&P 500 Index additions and earnings expectations. J. Finance 58(5):1821–1840.Crossref, Google Scholar
• Efing M, Hau H (2015) Structured debt ratings: Evidence on conflicts of interest. J. Financial Econom. 116(1):46–60.Crossref, Google Scholar
• Fecht F, Hackethal A, Karabulut Y (2018) Is proprietary trading detrimental to retail investors? J. Finance 73(3):1323–1361.Crossref, Google Scholar
• Ferreira MA, Matos P, Pires P (2018) Asset management within commercial banking groups: International evidence. J. Finance 73(5):2181–2227.Crossref, Google Scholar
• Financial Times (2015) Indices favor discretion in applying rules. Financial Times (August 15), https://www.ft.com/content/129e9582-471d-11e5-af2f-4d6e0e5eda22?source=sa.Google Scholar
• Financial Times (2020) The risks in the power of stock market indices. Financial Times (November 27), https://www.ft.com/content/b9b856c6-45a5-4dd6-b237-2e339acefb12.Google Scholar
• Gil-Bazo J, Hoffmann P, Mayordomo S (2020) Mutual funding. Rev. Financial Stud. 33(10):4883–4915.Crossref, Google Scholar
• Griffin JM, Nickerson J, Tang DY (2013) Rating shopping or catering? An examination of the response to competitive pressure for CDO credit ratings. Rev. Financial Stud. 26(9):2270–2310.Crossref, Google Scholar
• Greenwood R (2007) Excess comovement of stock returns: Evidence from cross-sectional variation in Nikkei 225 weights. Rev. Financial Stud. 21(3):1153–1186.Crossref, Google Scholar
• Harris L, Gurel E (1986) Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures. J. Finance 41(4):815–829.Crossref, Google Scholar
• Haselmann R, Leuz C, Schreiber S (2022) Know your customer: Informed trading by banks. NBER Working Paper No. 30521, National Bureau of Economic Research, Cambridge, MA.Google Scholar
• Hau H (2011) Global versus local asset pricing: A new test of market integration. Rev. Financial Stud. 24(12):3891–3940.Crossref, Google Scholar
• Hau H, Massa M, Peress J (2009) Do demand curves for currencies slope down? Evidence from the MSCI Global Index change. Rev. Financial Stud. 23(4):1681–1717.Crossref, Google Scholar
• He JJ, Qian JQJ, Strahan PE (2012) Are all ratings created equal? The impact of issuer size on the pricing of mortgage-backed securities. J. Finance 67(6):2097–2137.Crossref, Google Scholar
• Investment Company Institute (2020) 2020 Investment Company Fact Book: A Review of Trends and Activities in the Investment Company Industry, 60th ed. (Investment Company Institute, Washington, DC).Google Scholar
• Kashyap A, Kvrijnykh N, Li J, Pavlova A (2021) The benchmark inclusion subsidy. J. Financial Econom. 142(2):756–774.Crossref, Google Scholar
• Kashyap A, Kvrijnykh N, Li J, Pavlova A (2022) Is there too much benchmarking in asset management? Amer. Econom. Rev. 113(4):1112–1141.Crossref, Google Scholar
• Kaul A, Mehrotra V, Morck R (2000) Demand curves for stocks do slope down: New evidence from an index weights adjustment. J. Finance 55(2):893–912.Crossref, Google Scholar
• Kedia S, Rajgopal S, Zhou X (2014) Did going public impair Moody’s credit ratings? J. Financial Econom. 114(2):293–315.Crossref, Google Scholar
• Li X, Lou Y, Zhang L (2024) Do commercial ties influence ESG ratings? Evidence from Moody’s and S&P. J. Accounting Res. 62(5):1901–1940.Crossref, Google Scholar
• Lynch AW, Mendenhall RR (1997) New evidence on stock price effects associated with changes in the S&P 500 index. J. Bus. 70(3):351–383.Crossref, Google Scholar
• Matthews C (2022) The SEC’s next regulatory target could be index providers. MarketWatch (January 18), https://www.marketwatch.com/story/the-secs-next-regulatory-target-could-be-index-providers-11642177134.Google Scholar
• Mehran H, Stulz RM (2007) The economics of conflicts of interest in financial institutions? J. Financial Econom. 85(2):267–296.Crossref, Google Scholar
• Patel N, Welch I (2017) Extended stock returns in response to S&P 500 Index changes. Rev. Asset Pricing Stud. 7(2):172–208.Crossref, Google Scholar
• Robertson A (2023) The (mis)uses of the S&P 500. Univ. Chicago Bus. Law Rev. 2(1):137–169.Google Scholar
• Sharfman B, Deluard V (2022) How discretionary decision-making impacts the financial performance and legal disclosures of S&P 500 funds. Brooklyn Law Rev. 87(3):915.Google Scholar
• Shleifer A (1986) Do demand curves for stocks slope down? J. Finance 41(3):579–590.Crossref, Google Scholar
• Sun Y (2021) Index fund entry and financial product market competition. Management Sci. 67(1):500–523.Link, Google Scholar
• Timoneda JC (2021) Estimating group fixed effects in panel data with a binary dependent variable: How the LPM outperforms logistic regression in rare events data. Soc. Sci. Res. 93:102486.Crossref, Google Scholar
• Vijh AM (1994) The spinoff and merger ex-date effects. J. Finance 49(2):581–609.Google Scholar
• Wurgler J, Zhuravskaya E (2002) Does arbitrage flatten demand curves for stocks? J. Bus. 75(4):583–608.Crossref, Google Scholar