本研究探討剔除於S&P 500指數成份股之公司，是否會在事件發生前，採取盈餘管理方式避免遭受被成份股剔除之現象。研究結果顯示，剔除前後年間公司均偏向較為保守之盈餘管理，以負向裁決性應計數操作公司盈餘，並於剔除當年顯著提高對盈餘的操弄程度，剔除後一年失去成份股地位，則會減緩對盈餘管理之操作。而被剔除公司的長期股價表現，符合Chen et al.（2004）與Chan et al.（2013），對公司被剔除S&P 500指數成份股後，長期股票報酬會提升之論點，並發現盈餘管理對公司長期績效表現，在剔除後第24個月以前具有較為顯著之影響。

This paper investigates the earnings management of S&P 500 firms before and after their deletions from the index. Results from our empirical tests find that discretionary accruals of S&P 500 firms significantly increase (decrease) before (after) the deletion. Consistent with Chen et al. (2004) and Chan et al. (2013), there is a permanent increase in the price of deleted firms. Besides, thr result provides evidence that more “aggressive” halves of earnings managers have a two-year higher stock return performance in the deleted year, the more “conservative” have greater stock return from one year after deleting.

摘　要 i
ABSTRACT ii
誌　謝 iii
表　目　錄 vi
圖　目　錄 vii
壹、 緒論 1
一、 研究動機 1
二、 研究目的 3
三、 研究架構 4
貳、 文獻回顧及探討 5
一、 指數成份股變動與盈餘管理的關係 5
二、 指數成份股變動與公司異常報酬的關係 7
(一) 不完全替代假說 （Imperfect Substitution Hypothesis） 7
(二) 價格壓力假說 （Price Pressure Hypothesis） 8
(三) 訊息（認證）假說（Information / Certification Hypothesis） 9
(四) 流動性假說（Liquidity Hypothesis） 9
(五) 投資者認知（Investor awareness） 10
參、 研究假說及方法 11
一、 研究假說 11
二、 研究方法 12
(一) 裁決性應計項目衡量方式 12
(二) 公司長期股票報酬衡量方式 13
肆、 研究資料及樣本 15
一、 S&P 500指數 15
二、 資料蒐集來源 17
三、 研究樣本篩選 17
伍、 實證結果 19
一、 敘述性統計 19
二、 劃分樣本期間探討公司盈餘管理之變化 21
(一) S&P 500指數變更制度時點 21
(二) 沙賓法案頒佈年度劃分樣本期間 23
三、 盈餘管理與被剔除公司之長期股票績效 24
(一) 公司被剔除前後期間盈餘管理程度與長期股票報酬 24
(二) 被剔除公司盈餘管理程度與每半年期間股票報酬 26
陸、 結論 38
參考文獻 39

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