This paper examines whether index inclusion has information content and the downward-sloping demand curve hypothesis in China. We investigate the stock price and volume effects when stocks are included in two major st...This paper examines whether index inclusion has information content and the downward-sloping demand curve hypothesis in China. We investigate the stock price and volume effects when stocks are included in two major stock indexes, the Shanghai Stock Exchange 30 Index （SH30） and the Shenzhen Component 40 Index （SZ40）. Furthermore, we also study the performance changes after index inclusion. We find significant price and volume increases for the stocks selected by the SH30 when the index was created and announced. Thus, the original inclusion may not be an information-free event. For subsequent index inclusions, we observe significant abnormal returns but not abnormal trade volume around the announcement date. However, the stock returns quickly reversed at the post-announcement period. Moreover, the financial performance of index included firms does not improve. The evidence does not support the price pressure hypothesis in China.展开更多
Signal traits are often linked with the physiological state and behavior of their bearer. Direct examination of the causal links among these variables has provided substantial insight into the information content of s...Signal traits are often linked with the physiological state and behavior of their bearer. Direct examination of the causal links among these variables has provided substantial insight into the information content of signals, and into the costs and benefits of signal expression. Yet recent empirical work suggests that the social context in which signals are developed and displayed can play a major role not only in how signals are received, but also in coordinating and mediating the signaling phenotype itself. Here we review both well-established and emerging evidence for direct feedbacks among an individual＇s physiological state, be- havior, and signal elaboration. We then describe an integrative view of signaling that takes into account the bidirectional rela- tionships among components of phenotype and the social context in which signals are developed and displayed. Integrating dy- namic feedback between context and phenotype within models of the evolution and maintenance of signals may yield insights into how signals evolve, how signaling phenotypes are coordinated and maintained on ecological and evolutionary time scales, and how static signals continue to convey relevant phenotypic information about their bearer through time.展开更多
文摘This paper examines whether index inclusion has information content and the downward-sloping demand curve hypothesis in China. We investigate the stock price and volume effects when stocks are included in two major stock indexes, the Shanghai Stock Exchange 30 Index （SH30） and the Shenzhen Component 40 Index （SZ40）. Furthermore, we also study the performance changes after index inclusion. We find significant price and volume increases for the stocks selected by the SH30 when the index was created and announced. Thus, the original inclusion may not be an information-free event. For subsequent index inclusions, we observe significant abnormal returns but not abnormal trade volume around the announcement date. However, the stock returns quickly reversed at the post-announcement period. Moreover, the financial performance of index included firms does not improve. The evidence does not support the price pressure hypothesis in China.
基金Acknowledgements During the span of this project our work was funded by the National Science Foundation （DEBCAREER 1149942 to RJS）, and the National Evolutionary Synthesis Center （NSF #EF- 4120905606） through a graduate fellowship for DMZ.
文摘Signal traits are often linked with the physiological state and behavior of their bearer. Direct examination of the causal links among these variables has provided substantial insight into the information content of signals, and into the costs and benefits of signal expression. Yet recent empirical work suggests that the social context in which signals are developed and displayed can play a major role not only in how signals are received, but also in coordinating and mediating the signaling phenotype itself. Here we review both well-established and emerging evidence for direct feedbacks among an individual＇s physiological state, be- havior, and signal elaboration. We then describe an integrative view of signaling that takes into account the bidirectional rela- tionships among components of phenotype and the social context in which signals are developed and displayed. Integrating dy- namic feedback between context and phenotype within models of the evolution and maintenance of signals may yield insights into how signals evolve, how signaling phenotypes are coordinated and maintained on ecological and evolutionary time scales, and how static signals continue to convey relevant phenotypic information about their bearer through time.
