Pacific-Basin Finance Journal Volume 40, Part A, December 2016, Pages 36–48

股票指數重建的不對稱反應：基于滬深300指數增減的證據

作者：Wei-Kuang Chen (National Chengchi University, taiwan), Ching-Ting Lin (National Chengchi University, taiwan)

摘要：本文研究了滬深300指數成分股的改變，其成分股的增減是每半年依據詳述的選擇方法進行操作的。我們發現當被添加到指數裡時，股票将經曆一個持久的價格上漲并且分析師對它有一個樂觀的EPS預測。這些樂觀的收益期望是基于不斷增加的資本活動和資本性支出。相反地，當從指數裡删除股票時，我們并沒有發現該股票顯著的結果。來自股東數量和影子成本改變的證據和投資者意識理論是一緻的。增加的投資者意識和監控逼迫剛被添加進指數的公司表現得更加有效，加上較低的資本性支出，這将吸引更多的投資者增加資本投入。然而，監測和表現的有效性并不會因為删減而極大地降低。

Asymmetric responses to stock index reconstitutions: Evidence from the CSI 300 index additions and deletions

Wei-Kuang Chen (National Chengchi University, taiwan), Ching-Ting Lin (National Chengchi University, taiwan)

ABSTRACT

This study investigates constituent changes to the CSI 300 index, which is scheduled semiannually in accordance with clearly-stated selection methodology. We find that stocks experience a permanent price increase and receive optimistic EPS forecasts from analysts following their addition to the index. These optimistic earnings expectations are supported by increased capital-raising activities and capital expenditure. Conversely, we do not find any significant results for index deletions. Evidence in the form of changes in the number of shareholders and shadow costs are consistent with the investor awareness theory. Increased investor awareness and monitoring forces newly-added firms to perform effectively, resulting in the attraction of more newly-issued capital from investors due to the firms' lower cost of capital. Monitoring and performance effectiveness, however, would not lessen sharply for deletions.

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0927538X1630107X

翻譯：阙江靜