This study examines the asymmetric impact on the US S&P 500 stock index due to the changes in aggregate revenue and aggregate earnings of the index constituents. We applied the nonlinear autoregressive distributed lag model of Shin et al. (Festschrift in honor of Peter Schmidt, 2014, Springer, 281–314) to determine the long run and the short run asymmetries. The presence of a cointegrating relationship confirms that despite short-run departures, the relationship remains stable in the long run. The nonlinear autoregressive distributed lag model estimates that when aggregate revenue increases by $1,000, the S&P index is expected to increase by 8.64 points, but when the aggregate revenue decreases by the same amount, the market decreases by 31.4 points. Similarly, when the aggregate income increases by $1,000, the S&P index is likely to increase by 22.59 points, whereas if the aggregate income decreases by the same amount, the index would decrease more steeply by 32.11 points. Based on these findings, the present study establishes an asymmetric relationship between two important accounting variables. The study also confirms the validation of prospect theory in the S&P index valuation of its constituent stocks' financial performance. Aside from using the model on aggregate data for the S&P index, we also analyzed 28 individual US stocks to validate the findings.

中文翻译：

---

总收入和总收益对股票指数的不对称影响是否符合前景理论？

本研究考察了由于指数成分股的总收入和总收益的变化对美国标准普尔 500 股票指数的不对称影响。我们应用了 Shin 等人的非线性自回归分布滞后模型。（纪念彼得施密特的 Festschrift, 2014, Springer, 281–314) 来确定长期和短期的不对称性。协整关系的存在证实了尽管存在短期偏离，但从长远来看，这种关系保持稳定。非线性自回归分布滞后模型估计，当总收入增加 1,000 美元时，标准普尔指数预计将上涨 8.64 点，但当总收入减少相同数量时，市场下跌 31.4 点。同样，当总收入增加 1,000 美元时，标准普尔指数可能会增加 22.59 点，而如果总收入减少相同的数量，则该指数将急剧下降 32.11 点。基于这些发现，本研究建立了两个重要会计变量之间的不对称关系。该研究还证实了前景理论在标准普尔指数对其成分股财务业绩的估值中的验证。除了将模型用于标准普尔指数的汇总数据外，我们还分析了 28 只美国股票以验证调查结果。