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

Abstract

Whether 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.