The long-term performance of Hang Seng Index additions and deletions

doi:10.1016/j.irfa.2015.09.006

Residential College	false
Status	已發表Published
	The long-term performance of Hang Seng Index additions and deletions
	Kot, H. W.; Leung, H.K.M.; Tang, G.Y.N.
	2015-12-01
Source Publication	International Review of Financial Analysis
ABS Journal Level	3
ISSN	-
Pages	407-420
Abstract	We investigate the long-term performance of firms added to or deleted from the Hang Seng Index from 1986 to 2008. The stocks newly deleted from the Hang Seng Index have abnormal returns over a 5-year holding period and the newly added stocks do not. The deleted stocks outperform the added stocks, with the difference resulting from poorly performing state-owned added stocks and better performing family-owned deleted stocks. The operating performance of the deleted stocks improves in the post-event period and that of the added stocks does not. The liquidity and beta of the added stocks decrease and the analyst coverage increases. Meanwhile, the liquidity and analyst coverage of the deleted stocks decrease. Regression analyses show that changes in operating performance are the most important factors explaining the long-term stock performance of added and deleted stocks.
Keyword	Index Revisions Hang Seng Index Long-term Performance Operating Performance Analyst Coverage
DOI	10.1016/j.irfa.2015.09.006
URL	View the original
Language	英語English
The Source to Article	PB_Publication
Fulltext Access	View Full-Text via DOI View Full-Text via Web of Science
Citation statistics
Document Type	Journal article
Collection	University of Macau
Corresponding Author	Kot, H. W.
Recommended Citation GB/T 7714	Kot, H. W.,Leung, H.K.M.,Tang, G.Y.N.. The long-term performance of Hang Seng Index additions and deletions[J]. International Review of Financial Analysis, 2015, 407-420.
APA	Kot, H. W.., Leung, H.K.M.., & Tang, G.Y.N. (2015). The long-term performance of Hang Seng Index additions and deletions. International Review of Financial Analysis, 407-420.
MLA	Kot, H. W.,et al."The long-term performance of Hang Seng Index additions and deletions".International Review of Financial Analysis (2015):407-420.

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