というNBER論文が上がっているSSRN版、H/T タイラー・コーエン)。原題は「Does joining the S&P 500 index hurt firms?」で、著者はBenjamin Bennett(テュレーン大)、René M. Stulz(オハイオ州立大)、Zexi Wang(ランカスター大)。

We show that joining the index has real effects on firms and that some of these effects change over time. While joining the index has a transitory positive effect but no long-term effect on stock prices in the first half of our sample period, stock prices of firms joining the index experience no transitory positive effect and negative risk-adjusted long-term returns in the second half of our sample period. Though there has been much concern about the impact of joining the index on price discovery, we find that this impact does not worsen as passive investing increases. We show that inclusion affects the investment, payout, and financing policies of added firms. Though payout and financing policies of included firms commove more with the payout and financing policies of their S&P 500 peers after inclusion, we find increased comovement with investment only if we measure investment by asset growth and not when we measure it by capital expenditures. In no case do these effects increase over our sample period. We also find that firms in the index repurchase more and that firms joining the index increase repurchases. A plausible explanation for this evolution is that managers of added firms see the number of S&P 500 firms in their compensation peer group increase, so that they are more compared to firms in the index after inclusion than before. Belonging to the index conveys valuable prestige. This prestige may explain why firms added to the index experience a credit rating increase. This increase is stronger earlier in our sample period. There has been much debate in the literature about a potential adverse impact on competition of the increase in passive investment because of the associated increase in common ownership. Using multiple measures of competition, we find no evidence that index inclusion has a competitive impact. In particular, an included firm’s profit margins do not increase and neither do the profit margins of other firms in the industry that are already in the index.