Prior literature shows that earnings have come to explain less stock price movement over time, suggesting that firm fundamental information has become less important. In this paper, we replace earnings with earnings announcement returns as a measure of firm fundamental news and find that these...

Prior literature shows that earnings have come to explain less stock price movement over time, suggesting that firm fundamental information has become less important. In this paper, we replace earnings with earnings announcement returns as a measure of firm fundamental news and find that these...

Using the data of China Securities Index (CSI) 300, we analyse how passive investing affects stock prices through information contents. We focus on analysing the index effect from the perspective of information costs. We find that index additions lead to more passive investments in the added...