The long-term performance of index additions and deletions: Evidence from the Hang Seng Index

Hung Wan Kot; Harry K.M. Leung; Gordon Y.N. Tang

doi:10.1016/j.irfa.2015.09.006

Author(s)

Hung Wan Kot
Harry K.M. Leung
Gordon Y.N. Tang

Detail(s)

Original language	English
Pages (from-to)	407-420
Journal / Publication	International Review of Financial Analysis
Volume	42
Publication status	Published - 1 Dec 2015
Externally published	Yes

Link(s)

DOI	DOI https://doi.org/10.1016/j.irfa.2015.09.006 Final Published version
	Check@CityULib
Link to Scopus	https://www.scopus.com/record/display.uri?eid=2-s2.0-84945903804&origin=recordpage
Permanent Link	https://scholars.cityu.edu.hk/en/publications/publication(1137efa2-35d1-493d-bc3b-12efa6b47d45).html

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.

Research Area(s)

Analyst coverage, G10, G14, Hang Seng Index, Index revisions, Long-term performance, Operating performance

Citation Format(s)

[ RIS ] [ BibTeX ]

The long-term performance of index additions and deletions: Evidence from the Hang Seng Index. / Kot, Hung Wan; Leung, Harry K.M.; Tang, Gordon Y.N.
In: International Review of Financial Analysis, Vol. 42, 01.12.2015, p. 407-420.

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

Kot, HW, Leung, HKM & Tang, GYN 2015, 'The long-term performance of index additions and deletions: Evidence from the Hang Seng Index', International Review of Financial Analysis, vol. 42, pp. 407-420. https://doi.org/10.1016/j.irfa.2015.09.006

Kot, H. W., Leung, H. K. M., & Tang, G. Y. N. (2015). The long-term performance of index additions and deletions: Evidence from the Hang Seng Index. International Review of Financial Analysis, 42, 407-420. https://doi.org/10.1016/j.irfa.2015.09.006

Kot HW, Leung HKM, Tang GYN. The long-term performance of index additions and deletions: Evidence from the Hang Seng Index. International Review of Financial Analysis. 2015 Dec 1;42:407-420. doi: 10.1016/j.irfa.2015.09.006

Kot, Hung Wan ; Leung, Harry K.M. ; Tang, Gordon Y.N. / The long-term performance of index additions and deletions : Evidence from the Hang Seng Index. In: International Review of Financial Analysis. 2015 ; Vol. 42. pp. 407-420.

The long-term performance of index additions and deletions : Evidence from the Hang Seng Index