股市需求冲击与企业反应

Demand Shocks in Equity Markets Fernando BronerJuan J. CortinaSergio L. SchmuklerTomas Williams Policy Research Working Paper11315 Abstract This paper examines how shifts in investor demand influencefirm financing and investment decisions. For identification,the paper exploits a large-scale MSCI methodo logicalreform that mechanically redefined the stock weights inmajor international equity benchmark indexes, changingthe portfolio allocation of 2,508 firms across 49 countries.Because benchmark-tracking investors closely follow these inflows and outflows at the firm level. Firms experiencinglarger inflows increased equity issuance, even more so debtfinancing, and real investment. The paper complements theempirical analysis with a simple model of firm financingin which a decline in the cost of equity increases the valueof equity and relaxes borrowing constraints. Higher equityvaluations allow firms to expand borrowing even without Demand Shocks in Equity Markets Fernando BronerJuan J. CortinaCREIWorld Bank Sergio L. SchmuklerTomas WilliamsWorld BankGeorge Washington University Keywords:assetmanagers;benchmarkindexes;corporatedebt;equity;investment; JELCodes:F33;G00;G01;G15;G21;G23;G31 1Introduction The amount of assets managed by institutional investors worldwide has expanded rapidlyover the past few decades. By 2020, this amount had risen to 132 percent of global grossdomestic product (GDP), up from 84 percent in 2004 (PwC, 2021).This expansion has Theoretical work shows that increased institutional investor demand for equities canlower firms’ cost of equity capital, potentially expanding their investment capacity (Kashyap et al., 2021). In practice, however, firms can translate valuation gains into different financingresponses, with distinct implications for real investment. One possibility is that firms respondby adjusting financing—such as issuing equity while substituting away from debt—without affects firms’ financing choices and investment. Our contribution is to exploit a quasi-natural experiment to investigate the impactof institutional demand shocks on firm financing and investment decisions.The episodewe study is appealing for identification because it involves an unanticipated change in the We focus on a major methodological reform of the Morgan Stanley Capital International(MSCI) equity indexes, which serve as key benchmarks for institutional investors worldwide.Between 2000 and 2002, MSCI reweighted every stock in its global and regional indexes, affecting 2,508 firms across 49 countries.The reform shifted index weights from total to The reform generated variation in predicted portfolio investment flows unrelated to impact on firms. We focus on companies that remained in the MSCI indexes before and after the reform, thereby avoiding potential endogeneity concerns from firms entering or exitingthe benchmark.4To capture firms’ responses, we combine data on MSCI constituents with Our main finding is that firms experiencing larger predicted inflows induced by therebalancing raised significantly more external financing following the MSCI reform. Firms Building on these results, we use an instrumental variable approach to quantify theassociation between price changes driven by benchmark-induced investor demand and firms’financing activity. We find that a 1 percent increase in equity prices leads to a 0.08 (0.15) To rationalize these patterns, we build a simple model of firm financing and investment.In the model, the amount of debt financing is limited to a fraction of their equity market value. When benchmark-driven inflows lower the cost of equity, the value of equity increases. Our results provide evidence that institutional investor demand shocks in equity marketsplay an important role in shaping corporate financing and investment decisions. Such demandnot only affects asset prices but also influences how firms fund and expand their operations. Our paper contributes to the empirical literature on how shifts in institutional investordemand influence corporate financing and investment decisions. Benchmark index redefinitionsare among the few settings in which such demand shocks can be inferred. Prior studies have Related work shows that firms often increase debt rather than equity issuance after joiningan index (Hong et al., 2021; Goyal et al., 2023).In contrast, smaller firms added to the While this evidence has advanced our understanding of benchmark-driven corporatebehavior, index additions are less suitable for identifying financing responses. Inclusion istypically correlated with prior performance and financing activity: firms that issue equity The MSCI reform we study offers a clean setting to assess how inelastic investordemand shapes firm behavior. The methodological change reweighted all constituent firmssimultaneously and differentially for reasons unrelated to prior performance or issuance Our paper also relates to the growing literature examining how investo