股指成分股调整与企业投资效率

Stock Index Adjustments and Corporate Investment Efficiency

为了研究股指成分股调整对投资效率的影响,把2007年6月至2019年6月沪深300指数共25次调整的成分股作为处理组,以同期每次调整公布的备选股作为控制组,构建双重差分模型。研究结果表明,指数调整之后,与备选股公司相比被调入为成分股的公司的投资效率显著提升。进一步的异质性分析发现,成分股调整对企业投资效率的影响在非国际四大会计师事务所审计和非国企的样本组里更加显著。

To examine the impact of index addition on investment efficiency,we carry out difference-in-differences(DID)analyses based on CSI 300 index addition.The firms joining the CSI 300 index from June 2007 to June 2019 are treated firms,and the firms added to the list of backup stocks in the same period are control firms.The conclusion shows that the index addition significantly reduces investment efficiency.Further heterogeneity analysis shows that non-Big Four auditing and non-state-owned enterprises will be more effected.