TSX Index Revisions and Corporate Performance

40 Pages Posted: 24 Aug 2009

See all articles by Lucy Zhao

Lucy Zhao

University of Technology Sydney (UTS); Financial Research Network (FIRN)

Date Written: April 20, 2008


The information content and the impact of the S&P/TSX Composite Index revision on firm performance is studied. The results show that added companies experience significant increases in their expected earnings following the addition. For deletion, after adjusting for matched firms, the removed firms’ expected earnings demonstrate significant decreases, which indicates that investors may draw positive (negative) information from the addition to (deletion from) the TSX Index, similar to the pattern of S&P 500 Index revision. For realized earnings, removed companies do not demonstrate significant decrease, and added companies experience significant increase after May 2002, which patterns are different from that of S&P 500 Index. Possible reasons for such patterns are also discussed.

Keywords: Index revision, Corporate performance

JEL Classification: G12, G14, G32

Suggested Citation

Zhao, Ruoyun, TSX Index Revisions and Corporate Performance (April 20, 2008). 22nd Australasian Finance and Banking Conference 2009, Available at SSRN: https://ssrn.com/abstract=1460475 or http://dx.doi.org/10.2139/ssrn.1460475

Ruoyun Zhao (Contact Author)

University of Technology Sydney (UTS) ( email )

15 Broadway, Ultimo
PO Box 123
Sydney, NSW 2007
612-9514-7745 (Phone)
612-9514-7711 (Fax)

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane

HOME PAGE: http://www.firn.org.au

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
PlumX Metrics