Journal of Empirical Finance 37 (2016) 79–90

富时100指数修订的预期效应

作者：Marcelo Fernandes (Sao Paulo School of Economics), Jo?o Mergulh?o (Queen Mary University of London)

摘要：本文检验由于富时100指数的预期变化带来的交易对价格的影响。富时100指数采用公知的标准来确定成分股，因此为检验预期效应提供了基础。通过使用面板回归事件研究法，我们计算了指数成分股构成的事前概率变化带来的交易对价格的影响，从而检验了预期效应。我们的研究结论显示，预期带来的交易解释了40%累积异常收益率的增加和23%累积异常收益率的减少，且结果在统计学和经济学上都显著。

关键词：不完全替代，指数修正，流动性，价格压力

Anticipatory effects in the FTSE 100 index revisions

Marcelo Fernandes (Sao Paulo School of Economics), Jo?o Mergulh?o (Queen Mary University of London)

ABSTRACT

This paper examines the price impact of trading due to expected changes in the FTSE 100 index composition, which employs publicly-known objective criteria to determine membership. Hence, it provides a natural context to investigate anticipatory trading effects. We propose a panel-regression event study that backs out these anticipatory effects by looking at the price impact of the ex-ante probability of changing index membership status. Our findings reveal that anticipative trading explains about 40% and 23% of the cumulative abnormal returns of additions and deletions, respectively. The results are both statistically and economically significant.

Keywords: Imperfect substitutes; Index revision; Liquidity; Price pressure

原文链接：http://www.sciencedirect.com/science/article/pii/S0927539816300238

翻译：罗丹