S&P 500指數成分股調整之股價與經營績效

Stock and Operating Perofrmance of Additions in S&P 500 Index

牟慧倢(Huei-Chieh Mou)

指導教授 ： 徐政義

國立中央大學/管理學院/財務金融學系/碩士(2011年)

摘要

本文主要研究標準普爾500指數(S&P 500 Index)新增股的股價反應及經營績效的變化，以探討指數調整是否為一蘊含資訊事件。研究發現指數的新增股在短期有正的異常報酬但在執行日後迅速反轉，長期並沒有顯著的異常報酬。新增股的經營績效在被納入的前一年顯著高於同業，但加入成分股後之績效區卻低於同產業公司。實證結果符合價格壓力假說，且經營績效並未因此改善，從而驗證指數調整並非為一蘊含資訊事件。

關鍵字

S&P 500指數 ； 成份股 ； 價格壓力 ； 訊息內涵

並列摘要

This study investigates the price reaction and operating performance of the added stocks in the S&P 500 index from January 2000 to October 2009 in S&P 500 index. Empirical results show that short-run abnormal return is significantly positive but reverse soon after the effective day. Long-run abnormal return does not exist. The operating performance of additions significantly outperforms their benchmarks one year before the adjustment but becomes worse afterwards. The positive price reaction is not permanent and the operating performance is not significantly improved. It infers that the index inclusion is an information-free event.

並列關鍵字

S&P 500 Index ； Additions ； Price pressure ； Information content

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