本計劃書提出三年期三個子計畫。第一年的子計畫將探討S&P 500指數新加入成分股的長期股價報酬與經營績效，以及其成因。過去文獻對於宣告前後的股價行為已有許多討論，但是探討長期績效的文獻仍有欠缺。目前的文獻發現新加入股票會增加機構投資人數、改善流動性、並提高投資人的認知，並導致於資金成本的降低。本計畫提出了假說認為經理人有動機將其公司股票被納入主要指數成分股，因此會進行盈餘管理或是盈餘操弄。本子計畫將衡量新加入股票在事件年前後的盈餘管理程度，以及探討盈餘管理程度與長期股價與經營績效變化的關聯性。第二年的子計畫將探討新加入指數成分股對供應鏈上下游公司之市場短期與長期績效的影響，過去的文獻發現指數效果會影響新加入股票以及其產業競爭對手的相對競爭力，本研究預期，指數效果應該也會改變其上下游供應鏈相關的公司。第三年的子計畫將以23個新興國家的上市公司為樣本，檢視其供應鏈關係對於改善ESG績效的影響，過去文獻發現機構投資人會有監督其投資公司改善ESG績效的角色，本計畫提出假說，認為下游的客戶會有社會規範與經濟動機去監督其上游供應商來改善其環境和社會責任的績效，特別是來自於歐美等重視環境與社會議題國家的下游客戶，他們發揮監督位於新興市場的上游供應商的效果應該更強烈。 ;In the MOST three-year project, I submit three proposals. In the first-year proposal, I will examine the long-run performance of additions to S&P 500 index and explore the causes. The market reactions to the announcement and short-run stock behaviors around the index reconstitutions have been well documented. However, a few studies examine the long-run performance of additions. Existing studies have confirmed that firms newly added to index constituents can increase institutional investor base, improve stock liquidity, and raise investors’ awareness; and thus lower cost of equity capital as a result. Thus, I propose that, in order to be included in the S&P 500 index, managers of public firms have incentives to manipulate the earnings. I will examine the extent of earnings management for additions around the index reconstitutions and investigate the association between earnings management and long-run operating and stock performance. In the second-year proposal, I will study the spillover of index effects by examining the market reactions and long-run performance of economically related firms in the supply-chain relationships with the additions. Existing literature has examined the stock and operating performance of additions and their rivals around the index reconstitutions. I propose that, if the reconstitutions can change the competitiveness of the additions and their rivals, the events should affect their dependent suppliers and customers as well. In the third-year proposal, I will examine the role of economically related firms on promoting environment and social performance of firms in 23 emerging markets. Existing literature has confirmed the monitoring role of institutional investors on promoting E&S performance. I propose that customers have social and economic incentives to monitor their dependent suppliers to implement better E&S performance. I expect that customers that come from high E&S norm countries would have a strong and significant positive impact on their dependent suppliers in emerging countries for their E&S performance.
