指數成份股調整的研究：來自國際的實證; Research on Index Additions and Deletions: International Evidences

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Title:	指數成份股調整的研究：來自國際的實證;Research on Index Additions and Deletions: International Evidences
Authors:	徐政義
Contributors:	財務金融學系
Keywords:	研究領域：經濟學
Date:	2011-08-01
Issue Date:	2012-01-17 19:15:10 (UTC+8)
Publisher:	行政院國家科學委員會
Abstract:	摘要指數成份股的調整，一般均視為是與資訊無關的事件，因此有許多的文獻均以指數成份股的加入或排除為研究樣本，來探討此事件對於股價價格以及流動性的影響，研究結果都發現有很強烈的『S&P 500指數』效果，即當新加入S&P 500指數成份股的股票，在宣告以及執行的時候，有顯著的正報酬，而被排除在指數成份股的股票，在宣告以及執行的時候，有顯著的負報酬。然而，在文獻上仍有一些議題值得探討之處：首先，過去的文獻探討指數成份股的調整對股票價格影響之研究，大多都集中在美國S&P 500指數成份股調整的實證研究，全球其他各地的實證研究仍然相當少數，而這些超額報酬是否與法律機制或投資人保護程度有關？。其次，過去文獻中，由於股權資料的缺乏或是限制，很少有研究可以探討指數成份股的調整對於不同種類投資人交易的影響，尤其是本國散戶以及外國投資人的影響。第三，近年來有一些研究顯示，S&P 500指數新納入成份股的股票，證券分析師對每股盈餘的預測會調高，事後的每股盈餘也真的會顯著地調高。每股盈餘的改善，是因為經營績效變好？還是因為公司在納入成份股之後，由於更容易籌措到資金，因而擴大營運規模所產生的現象？目前文獻對於這些成因的探討仍付之闕如。本研究計畫提出三年期的研究計畫，擬以不同的樣本，運用實證研究來探討上述三項議題。 Abstract Past literature examining the price and liquidity reactions of the additions to and deletions from index is based on the assumption that the change of index constituents is information-free event. Empirical evidences demonstrate a significant “S&P 500” effect, that is, for those stocks which are newly added to index list experience positive price changes and those stocks which are deleted from index constituents suffer price depressions. These price effects are significantly different from zero both at the announcement and effective dates. However, there are some interesting issues that are not well documented. First, past evidences of various studies come from U.S. It is interesting to understand that whether the “S&P 500” is also applied to other countries, particularly to emerging markets, and the association of the abnormal returns and the national institutions and investor protections. Second, due to the unavailability of ownership data, few studies has address the issue of the foreigners’ and local investors’ reactions to the additions and deletions. Finally, some studies confirmed that the e.p.s. forecasts by financial analysts on newly added firms have increased after the effective date, and the realizations of e.p.s. do increase. What are the factors that raising e.p.s? It is probably attributed to improvement in operating performance, or expansion in operating scale. The expansion in scale occurs because these additions are more likely to access to capital market after they become the member of S&P 500 index. There is lack of study to examine these possibilities. We submit three-year project to address these three important issues by employing different sample. 研究期間：10008 ~ 10107
Relation:	財團法人國家實驗研究院科技政策研究與資訊中心
Appears in Collections:	[Department of Finance] Research Project

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