Indexing and the Incorporation of Exogenous Information Shocks to Stock Prices

We thank seminar participants at the Chinese University of Hong Kong, Dongbei University, Hitotsubashi University, Kyoto University, Purdue University, University of New South Wales, Yale School of Management, Wenlan School of Economics at Zhongnan University of Economics and Law, Jules H. van Binsbergen, Mara Faccio and Toby J. Moskowitz. We thank Jake Jiacheng Liu and Viet Dung Doan for excellent research assistance. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

• December 19, 2023
• January 10, 2024