成分股调整改变企业权益资本成本了吗——兼论产权性质的影响

Does Index Revision Change Firm Cost of Equity Capital?Concurrently Discuss the Role of Ownership Structure

成分股调整是否具有信息含量是长久以来争议的话题。本文探究了成分股调整对权益资本成本的影响及其信息中介机制,并考察了不同产权性质企业成分股调整的信息含量差异。本文首先通过公司融资选择模型(Tirole,2010)刻画了成分股调整对权益资本成本的影响,并拓展论证了产权性质调节效应和投资者异质信念中介效应。其次,本文经双重差分模型实证研究发现:(1)调入(调出)股票的权益资本成本下降(上升);(2)由于信息披露质量差异导致认证成本的不同,国有企业权益资本成本改变更为明显;(3)投资者异质信念发挥了部分中介作用,佐证了信息含量假说。本文结合中国独特的产权制度验证了成分股调整具有信息含量,为进一步完善成分股调整制度提供了理论依据。

Whether the Index revisions have information content is a topic that has long been discussed.This article explores the impact of index revisions on the cost of equity capital and its informational mechanism,then examines the differences in information content between state-owned and private enterprises.This paper first draws on the theoretical model of Tirole(2010),describes the impact of index revisions on the cost of equity capital,and expands to demonstrate the moderating effect of property rights and the mediating effect of investor heterogeneous beliefs.Secondly,this paper uses an empirical test of the differences-in-differences model to find that:(1)The stock of additions drops its cost of equity capital relatively to the candidate stocks after index revision;(2)Due to the difference in the quality of information disclosure,the cost of equity capital changes significantly for state-owned enterprises with higher quality of information disclosure;(3)Investors’heterogeneous beliefs play a part of the mediation effect on index revisions,supporting the information content hypothesis.The research in this paper provides new evidence that the index revisions have the information content,and also provides theoretical basis for index companies to further improve the system of index revisions.