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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/110537
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/110537

    Title: Asymmetric responses to stock index reconstitutions: Evidence from the CSI 300 index additions and deletions
    Authors: 陳威光;林靖庭
    Chen, Wei-Kuang;Lin, Ching-Ting
    Contributors: 金融系
    Keywords: CSI 300 index;Stock index reconstitution;Investor awareness;Analyst EPS forecast;Capital expenditure;Asymmetric market response
    Date: 2016-12
    Issue Date: 2017-06-28 14:54:34 (UTC+8)
    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.
    Relation: Pacific-Basin Finance Journal, 40(A), 36-48
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/j.pacfin.2016.08.005
    DOI: 10.1016/j.pacfin.2016.08.005
    Appears in Collections:[金融學系] 期刊論文

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