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。

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.

List of Tables vi
List of Fugures vi
1.Introduction 1
2.Literature Review 2
2.1 Downward sloping hypothesis 2
2.2 Price pressure hypothesis 4
2.3 Investor awareness hypothesis 5
2.4 Information hypothesis 5
3.Introduction of S&P 500 Index 6
4.Sample and Methodology 8
4.1Sample 8
4.2Methodology 9
5.Results 12
5.1 Stock performance 12
5.2 Operating Performance 14
6.Summary and Conclusions 15
Reference 16

Beneish, Messod D., and Robert E. Whaley, 1996, “An anatomy of the “S&P Games”: The effects of changing the rules”, Journal of Finance, 51, 1909-1930.

Cai, Jie , 2007, “What’s in the news? Information content of S&P 500 additions”, Financial Management, 36 (3), 113-124.

Chen, Honghui, Gregory Noronha, and Vijay Singal, 2004, “The price response to S&P 500 Index additions and deletions: Evidence of asymmetry and a new explanations”,Journal of Finance, 59, 1901-1929.

Daley L., Vikas Mehrotra, Ranjini Sivakumar, 1997, “Corporate focus and value creation: evidence from spinoffs”, Journal of Financial Economics, 45, 257-281

Denis, Diane, John McConnell, Alexei Ovtchinnikov, and Yun Yu, 2003, “S&P 500 index additions and earnings expectations”, Journal of Finance ,58, 1821-1840.

Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics, 33, 3-56.

Harris, Lawrence, and Eitan Gurel, 1986, “Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures”, Journal of Finance, 41, 815-830.

Lounghran, Tim. and Jay. R. Ritter, 1995, “The new issue puzzle”, Journal of Finance, 50, 23-51

Lounghran, Tim. and Jay. R. Ritter, 1997, ”The operating performance of firms conducting seasoned equity offerings”, Journal of Finance, 52, 1823-1850

Merton, Robert C., 1987, “A simple model of capital market equilibrium with incomplete information”, Journal of Finance, 42, 483-510.

Shleifer, Andrei, 1986, “Do demand curves for stocks slope down?” Journal of Finance ,41, 579-590.