Yen-Cheng Chang 張晏誠

Using a regression-discontinuity design around the Russell 1000/2000 cutoff, we find clean five-percent price effects for both additions and deletions, concentrated entirely in the month of index reassignment and symmetric in size.

Investor disagreement is a key ingredient of overvaluation and crash risk: when corporate filings become easier to access and investors can reconcile their views, overvalued stocks correct and the risk of sudden price crashes falls.

The threat of ex-post verification disciplines sell-side analysts: when corporate filings become freely and universally available, analysts' forecasts become less optimistic, more accurate, and less strategically biased.

When cheaper access to corporate disclosures lets competitors extract more from a firm's patent filings, firms protect their innovations by patenting less and leaning instead on trade secrecy.

Shareholders design short-termist CEO contracts to cash out at inflated speculative valuations; when speculation in a firm's stock subsides, shareholders lengthen the horizon over which their CEO is paid.

Returns to firms with rich information environments reverse on the prior year's intangible returns — consistent with confirmation bias — while returns to firms with scarce information environments drift, producing sharply different momentum patterns for small and large firms.

Local investors hold a short-lived information advantage about firms headquartered in their home province — only sentiment from home-province posts predicts next-day returns, and only for small stocks where information asymmetries loom largest.

Investors are averse to sudden jumps in market uncertainty and demand compensation for bearing that risk — stocks whose returns co-move most with jumps in variance earn about six percent per year more than the least exposed.

Better-managed mutual funds bring their governance playbook to the firms they invest in — portfolio firms adopt fewer anti-takeover measures, appoint more independent directors, and perform better, suggesting managerial know-how transmits across industries through ownership.