Financial Management, Volume 44, Issue 4, pages 875–904, Winter 2015.

指數化與股價有效性

作者：Nan Qin（Christopher Newport University - Luter School of Business）

Vijay Singal（Pamplin College of Business at Virginia Tech）

摘要：由于能持有分散化投資組合的同時最小化交易成本和稅費，指數化投資作為一種有效的投資方式，在過去二十年裡經曆了大幅增長。本文中，我們聚焦于指數化的負外部性，即指數化對股價有效性的影響。通過對大規模、高流動性的美國股票的研究，我們發現更高程度的指數化會導緻更低的股價有效性，這可以從盈餘公告後價格漂移現象更明顯和股價更大程度地偏離随機遊現象中看出。另外，我們推測：指數化降低了對信息獲取和套利的激勵，同時産生了被動交易，這些或許是價格有效性惡化的主要原因。

關鍵詞：指數化，盈餘公告後價格漂移，随機遊走，激勵

Indexing and Stock Price Efficiency

Nan Qin (Christopher Newport University- Luter School of Business), Vijay Singal (Pamplin College of Business at Virginia Tech)

ABSTRACT

Indexing has experienced substantial growth over the last two decades because it is an effective way of holding a diversified portfolio while minimizing trading costs and taxes. In this article, we focus on one negative externality of indexing: the effect on the efficiency of stock prices. Based on a sample of large and liquid US stocks, we find that greater indexing leads to less efficient stock prices, as indicated by stronger post-earnings-announcement drift and greater deviations of stock prices from the random walk. We conjecture that reduced incentives for information acquisition and arbitrage induced by indexing and passive trading are probably the main causes for degradation in price efficiency.

Keywords: indexing, post-earnings-announcement drift, random walk, incentives

原文鍊接：

http://onlinelibrary.wiley.com/doi/10.1111/fima.12102/abstract

翻譯：成祺炯