Journal of Empirical Finance, Volume 48, September 2018, Pages 341-356

S&P 500包含效应和股票供应

作者：JanSchnitzler (VU Amsterdam & Tinbergen Institute, Netherlands)

摘要：我提供了S&P500包含效应的新证据，并强调了股票供应的重要性。如果S&P500包含效应是由相关资本的过剩需求所推动的，那么它也应该依赖于股票的有效供应。标准普尔指数方法从股票供应角度解释了股票所有权构成的两个不同特征。这两项指标都显著预测了包含效应收益率的横截面大小。2005年指数实行权重自由浮动使得我们可以实现对一个指标的准自然实验和另一个指标的安慰剂测试。最后，最近十年的证据表明，包含效应的持续性已经不存在了。

关键词：S&P 500指数增加；价格压力；控制所有权；指数权重自由浮动；套利资本；向下倾斜的股票需求

S&P 500 inclusions and stock supply

JanSchnitzler (VU Amsterdam & Tinbergen Institute, Netherlands)

ABSTRACT

I provide new evidence of the S&P500 inclusion effect that highlights the importance of stock supply. If excess demand from S&P500-linked capital drives the inclusion effect, it should depend as well on the effective supply of a stock. Standard & Poor’s index methodology gives two distinct features of a stock’s ownership composition a supply interpretation. Both measures significantly predict the cross-sectional size of inclusion returns. Switching to free-floating index weights in 2005 enables a quasi-natural experiment to one proxy and a placebo test to the other. Finally, evidence from the most recent decade indicates that any persistence in the inclusion effect has disappeared.

Keywords: S&P 500 additions; Price pressure; Control ownership; Free-float index weight adjustment; Arbitrage capital; Downward-sloping demand for stocks

原文链接：

https://www.sciencedirect.com/science/article/pii/S092753981830053

翻译：陈然