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

股票指数重建的不对称反应：基于沪深300指数增减的证据

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

摘要：本文研究了沪深300指数成分股的改变，其成分股的增减是每半年依据详述的选择方法进行操作的。我们发现当被添加到指数里时，股票将经历一个持久的价格上涨并且分析师对它有一个乐观的EPS预测。这些乐观的收益期望是基于不断增加的资本活动和资本性支出。相反地，当从指数里删除股票时，我们并没有发现该股票显著的结果。来自股东数量和影子成本改变的证据和投资者意识理论是一致的。增加的投资者意识和监控逼迫刚被添加进指数的公司表现得更加有效，加上较低的资本性支出，这将吸引更多的投资者增加资本投入。然而，监测和表现的有效性并不会因为删减而极大地降低。

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.

原文链接：http://www.sciencedirect.com/science/article/pii/S0927538X1630107X

翻译：阙江静