Document Type


Publication Date

January 2010


The literature in the area of index changes finds evidence that index changes are information free events. However, Denis, McConnell, Ovtchinnikov and Yu (2003) find evidence contrary to this theory. This study extends the work of Denis, McConnell, Ovtchinnikov and Yu (2003) in an attempt to complete the assessment of the information hypothesis of index changes. Denis, McConnell, Ovtchinnikov and Yu (2003) address only index additions and do not examine index deletions in their study. Our contribution is in filling this void in the literature by examining forecasted and realized earnings of firms discretionary deleted from the S&P 500 index in the period October 1989 – December 2007. The study finds that contrary to the prediction of the information hypothesis the earnings forecasts and actual earnings of firms discretionary removed from the S&P 500 index on average increase.


Copyright © 2005-2014 The IBFR. All Rights Reserved. This article originally appeared in The International Journal of Business and Finance Research in Volume 4, Issue 4 and can be found online at this link.