Analyst responses to stock-index adjustments: Evidence from MSCI Taiwan Index additions

Chia-Jung Tu and Yuanchen Chang

Review of Financial Economics, 2012, vol. 21, issue 2, 82-89

Abstract: 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.

Keywords: Index adjustment; MSCI Taiwan Index; Absolute forecast error (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:revfin:v:21:y:2012:i:2:p:82-89

DOI: 10.1016/j.rfe.2012.03.004

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