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

指数化与股价有效性

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资组合的同时最小化交易成本和税费，指数化投资作为一种有效的投资方式，在过去二十年里经历了大幅增长。本文中，我们聚焦于指数化的负外部性，即指数化对股价有效性的影响。通过对大规模、高流动性的美国股票的研究，我们发现更高程度的指数化会导致更低的股价有效性，这可以从盈余公告后价格漂移现象更明显和股价更大程度地偏离随机游现象中看出。另外，我们推测：指数化降低了对信息获取和套利的激励，同时产生了被动交易，这些或许是价格有效性恶化的主要原因。

关键词：指数化，盈余公告后价格漂移，随机游走，激励

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

原文链接：

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

翻译：成祺炯