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題名 股票指數調整的價格變動效果和分析師的盈餘預測反應
The Effects of changes in price and analyst responses of earnings forecasts to stocks indices adjustments
作者 杜佳蓉
Tu, Chia Jung
貢獻者 張元晨
Chang, Yuanchen
杜佳蓉
Tu, Chia Jung
關鍵詞 指數調整
價格反應
絕對預測誤差
index adjustment
price response
absolute forecast error
日期 2009
上傳時間 9-May-2016 11:45:15 (UTC+8)
摘要 本論文分為兩部分，第一部份探討日經225和摩根台指成分股調整的價格變動效果。第二部份則是探討分析師對於股票被納入日經225和摩根台指的盈餘預測反應和絕對預測誤差。
Two essays are comprised in this dissertation to examine the effects of changes in price and the analyst responses of earnings forecasts to stocks Indices adjustments. Stock markets vary in nature from one country to another and the characteristic of stock index adjustments also alter significantly. The analytical results can provide better information for investors and management to make better decisions.
In the first essay, we examine price effects associated with changes in the composition of the Nikkei 225 Index and MSCI Taiwan Index. The analytical results show the price effects on stocks experiencing adjustments in the Nikkei 225 Index are consistent with the price pressure hypothesis. The price effects of composite stocks changed for the MSCI Taiwan Index are consistent with the downward sloping demand curve hypothesis. Based on classifying the characteristics of composite stocks into three categories, we find that large-scale added stocks dominate the price trend of the whole added sample in the Nikkei 225 Index. Also, added stocks with upwards revision earnings forecasts make more abnormal returns than the added stocks with downwards revision earnings forecasts in the Nikkei 225 Index during the post-announcement period. The electronic stocks earn larger abnormal returns than non-electronic stocks in the MSCI Taiwan Index. That can enable investors to profit by buying electronic stocks and added stocks with upwards revision earnings forecasts. The price reactions for the composite stocks in the Nikkei 225 Index and MSCI Taiwan Index around the Internet bubble burst have significantly difference.
In the second essay, we study the earnings forecast changes and absolute forecast errors made by analysts of the Nikkei 225 Index and MSCI Taiwan Index. Depending on the properties of brokerage firms that analysts work for, we divide them into local analysts and foreign analysts to separate who are more accurate than one the other. The results show that in comparison with the matching firms in Japan, the magnitudes of mean forecast revisions and absolute forecast errors are smaller made by analysts focusing on firms newly added to the Nikkei 225 Index. For firms newly added to the MSCI Taiwan Index, the magnitude of changes in analysts EPS forecasts do not differ clearly from those of their peer groups. Absolute forecast errors made by analysts focusing on firms newly added to the MSCI Taiwan Index are smaller than those made by analysts focusing on the matching firms. This phenomenon demonstrates firms that are newly added to the Nikkei 225 Index and MSCI Taiwan index exhibit significantly improved performance. In terms of the relative accuracy of local and foreign analysts, the results display that the forecasts of foreign analysts are less accurate than those of local analysts in Japan and the forecasts of foreign analysts are more accurate than those of local analysts in Taiwan.
參考文獻 Bacmann, J. F. and G. Bolliger (2001), “Who Are the Best? Local Versus Foreign Analysts on Latin American Stock Markets,” working paper, University of Neuchatel.
Bae, K. H., R. M. Stulz and H. Tan (2008), “Do Local Analysts Know More? A Cross-Country Study of the Performance of Local Analysts and Foreign Analysts,” Journal of Financial Economics, Vol. 88, 581-606.
Barber, B. M. and T. Odean (2000), “Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors,” Journal of Finance, Vol.55, 773-806.
Brennan, M. J. and H. H. Cao (1997), “International Portfolio Investment Flows,” Journal of Finance, Vol. 52, 1851-1880.
Chakrabarti, R., W. Huang, N. Jayaraman and J. Lee (2005), “Price and Volume Effects of Changes in MSCI Indices – Nature and Causes,”Journal of Banking and Finance, Vol. 29, 1237-1264.
Chen, H., G. Noronha and V. Singal (2004), “The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and A New Explanation,” Journal of Finance, Vol. 59, 1901-1930.
Chen, H., G. Noronha and V. Singal (2006), “S&P 500 Index Changes and Investor Awareness,” Journal of Investment Management, Vol. 4, 23-37.
Clement, M. B. (1999), “Analyst Forecast Accuracy: Do Ability, Resources, and Portfolio Complexity Matter?,” Journal of Accounting and Economics, Vol. 27, 285-303.
Conroy R. M. and R. S. Harris (1995), “Analysts` Earnings Forecast in Japan: Accuracy and Sell-Side Optimism,” Pacific-Basin Finance Journal, Vol. 3, 393-408.
De Bondt, W. F. M. and W. P. Forbes (1999), “Herding in Analyst Earnings Forecasts: Evidence from the United Kingdom,” European Financial Management, Vol. 5, 143-163.
Denis, D. K., J. J. McConnell, A. V. Ovtchinnikov and Y. Yu (2003), “S&P 500 Index Additions and Earnings Expectations,” Journal of Finance, Vol. 58, 1821-1840.
Dhillon, U. and H. Johnson (1991), “Changes in the Standard and Poor’s List,” Journal of Business, Vol. 64, 75-85.
Duru, A. and D. M. Reeb (2002), “International Diversification and Analysts` Forecast Accuracy and Bias,” Accounting Review, Vol. 77, 415-433.
Froot, K. A., P. G. J. O’Connell and M. S. Seasholes (2001), “The Portfolio Flows of International Investors,” Journal of Financial Economics, Vol. 59, 151–193.
Grinblatt, M. and M. Keloharju (2000), “The Investment Behavior and Performance of Various Investor Types: A Study of Finland’s Unique Data Set,” Journal of Financial Economics, Vol.55, 43-67.
Grinblatt, M., S. Titman, and R. Wermers (1995), “Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior,” American Economic Review, Vol. 85, 1088-1105.
Gu F. and W. Wang (2005), “Intangible Assets, Information Complexity, and Analysts’ Earnings Forecasts,” Journal of Business Finance & Accounting, Vol. 32, 1673-1702.
Guay W., D. Haushalter and B. Minton (2003), “The Influence of Corporate Risk Exposures on the Accuracy of Earnings Forecasts,” working paper.
Hanaeda, H. and T. Serita (2003), “Price and Volume Effects Associated with a Change in the Nikkei 225 List: New Evidence from the Big Change on April 2000,” International Finance Review, Vol. 4, 199-225.
Harris, L. and E. Gurel (1986), “Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures, ” Journal of Finance, Vol. 41, 815-829.
Hau, H. (2001), “Location Matters: An Examination of Trading Profits,” Journal of Finance, Vol. 56, 1959-1983.
Hope, O. –K. (2003), “Disclosure Practices, Enforcement of Accounting Standards, and Analysts’ Forecast Accuracy: An International Study,” Journal of Accounting Research, Vol. 41, 235-272.
Kaniel R., G. Saar, and S. Titman (2008), “Individual Investor Trading and Stock Returns,” Journal of Finance, Vol. 63, 273-310.
Kaul, A., V. Mehrotra and R. Morck (2000), “Demand Curves for Stocks Do Slope Down: New Evidence from an Index Weights Adjustment,” Journal of Finance, Vol. 55, 893-912.
Ke, B. and Y. Yu (2006), “The Effect of Issuing Biased Earnings Forecasts on Analysts’ Access to Management and Survival,” Journal of Accounting Research, Vol. 44, 965–1000.
Liu, S. (2000), “Changes in the Nikkei 500: New Evidence for Downward Sloping Demand Curves for Stocks,” International Review of Finance, Vol. 1, 245–267.
Loh, R. K. and G. M. Mian (2006), “Do Accurate Earnings Forecasts Facilitate Superior Investment Recommendations?,” Journal of Financial Economics, Vol. 80, 455–483.
Malloy, C. J. (2005), “The Geography of Equity Analysis,” Journal of Finance, Vol. 60, 719- 775.
Odean, T. (1998), “Are Investors Reluctant to Realize Their Losses?,” Journal of Finance, Vol. 53, 1775-1798.
Okada, K., N. Isagawa and K. Fujiwara (2006), “Addition to the Nikkei 225 Index and Japanese Market Response: Temporary Demand Effect of Index Arbitrageurs”, Pacific-Basin Finance Journal, Vol. 14, 395–409.
Seasholes, M. S. (2000), “Smart Foreign Traders in Emerging Markets,” working paper, Harvard University.
Shankar, S. G. and J. M. Miller (2006), “Market Reaction to Changes in the S&P SmallCap 600 Index,” Financial Review, Vol. 41, 339-360.
Shleifer, A. (1986), “Do Demand Curves for Stocks Slope Down?,” Journal of Finance, Vol. 41, 579-590.
Shu, P. G., Y. H. Yeh and Y. C. Huang, (2004), “Stock Price and Trading Volume Effects Associated with Changes in the MSCI Free Indices: Evidence from Taiwanese Firms Added to and Deleted from the Indices,” Review of Pacific Basin Financial Markets and Policies, Vol. 7, 471-491.
Sias R. W. (1997), “The Sensitivity of Individual and Institutional Investors` Expectations to Changing Market Conditions: Evidence from Closed-End Funds,” Review of Quantitative Finance and Accounting, Vol. 8, 245-269.
Wurgler, J. and E. Zhuravskaya (2002), “Does Arbitrage Flatten Demand Curves for Stocks?,” Journal of Business, Vol. 75, 583-608.
描述 博士
國立政治大學
財務管理研究所
93357504
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0093357504
資料類型 thesis
dc.contributor.advisor 張元晨zh_TW
dc.contributor.advisor Chang, Yuanchenen_US
dc.contributor.author (Authors) 杜佳蓉zh_TW
dc.contributor.author (Authors) Tu, Chia Jungen_US
dc.creator (作者) 杜佳蓉zh_TW
dc.creator (作者) Tu, Chia Jungen_US
dc.date (日期) 2009en_US
dc.date.accessioned 9-May-2016 11:45:15 (UTC+8)-
dc.date.available 9-May-2016 11:45:15 (UTC+8)-
dc.date.issued (上傳時間) 9-May-2016 11:45:15 (UTC+8)-
dc.identifier (Other Identifiers) G0093357504en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/94728-
dc.description (描述) 博士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 93357504zh_TW
dc.description.abstract (摘要) 本論文分為兩部分，第一部份探討日經225和摩根台指成分股調整的價格變動效果。第二部份則是探討分析師對於股票被納入日經225和摩根台指的盈餘預測反應和絕對預測誤差。zh_TW
dc.description.abstract (摘要) Two essays are comprised in this dissertation to examine the effects of changes in price and the analyst responses of earnings forecasts to stocks Indices adjustments. Stock markets vary in nature from one country to another and the characteristic of stock index adjustments also alter significantly. The analytical results can provide better information for investors and management to make better decisions.
In the first essay, we examine price effects associated with changes in the composition of the Nikkei 225 Index and MSCI Taiwan Index. The analytical results show the price effects on stocks experiencing adjustments in the Nikkei 225 Index are consistent with the price pressure hypothesis. The price effects of composite stocks changed for the MSCI Taiwan Index are consistent with the downward sloping demand curve hypothesis. Based on classifying the characteristics of composite stocks into three categories, we find that large-scale added stocks dominate the price trend of the whole added sample in the Nikkei 225 Index. Also, added stocks with upwards revision earnings forecasts make more abnormal returns than the added stocks with downwards revision earnings forecasts in the Nikkei 225 Index during the post-announcement period. The electronic stocks earn larger abnormal returns than non-electronic stocks in the MSCI Taiwan Index. That can enable investors to profit by buying electronic stocks and added stocks with upwards revision earnings forecasts. The price reactions for the composite stocks in the Nikkei 225 Index and MSCI Taiwan Index around the Internet bubble burst have significantly difference.
In the second essay, we study the earnings forecast changes and absolute forecast errors made by analysts of the Nikkei 225 Index and MSCI Taiwan Index. Depending on the properties of brokerage firms that analysts work for, we divide them into local analysts and foreign analysts to separate who are more accurate than one the other. The results show that in comparison with the matching firms in Japan, the magnitudes of mean forecast revisions and absolute forecast errors are smaller made by analysts focusing on firms newly added to the Nikkei 225 Index. For firms newly added to the MSCI Taiwan Index, the magnitude of changes in analysts EPS forecasts do not differ clearly from those of their peer groups. Absolute forecast errors made by analysts focusing on firms newly added to the MSCI Taiwan Index are smaller than those made by analysts focusing on the matching firms. This phenomenon demonstrates firms that are newly added to the Nikkei 225 Index and MSCI Taiwan index exhibit significantly improved performance. In terms of the relative accuracy of local and foreign analysts, the results display that the forecasts of foreign analysts are less accurate than those of local analysts in Japan and the forecasts of foreign analysts are more accurate than those of local analysts in Taiwan.		en_US
dc.description.tableofcontents List of Figures iii
List of Tables and Appendices iv
Preface vi
Acknowledgements vii
Abstract viii

Chapter I. Introduction…………………………………………………………… 1
Chapter II. The Effects of Changes in Price to Stocks Indices Adjustments
1. Introduction 4
2. Literature review 7
3. Data and methodology description 9
3.1 Data description 9
3.2 Methodology 10
4. Empirical results 11
4.1 Price effects displayed by stocks added to the Nikkei 225 11
4.1.1 Price responses of large-scale and small-scale stocks added to the Nikkei 225 12
4.1.2 Price responses of electronic and non-electronic stocks added to the Nikkei 225 13
4.1.3 Price responses of upwards and downwards revisions of earnings forecasts for stocks added to the Nikkei 225 14
4.1.4 Price responses for stocks added to the Nikkei 225 before and after Internet bubble burst 15
4.2 Price effects displayed by stocks deleted from the Nikkei 225 16
4.2.1 Price responses of large-scale and small-scale stocks deleted from the Nikkei 225 17
4.2.2 Price responses of electronic and non-electronic stocks deleted from the Nikkei 225 17
4.2.3 Price responses for stocks deleted from the Nikkei 225 before and after Internet bubble burst 18
4.3 Price effects displayed by stocks added to the MSCI Taiwan Index 19
4.3.1 Price responses of large-scale and small-scale stocks added to the MSCI Taiwan Index 20
4.3.2 Price responses of electronic and non-electronic stocks added to the MSCI Taiwan Index 21
4.3.3 Price responses of upwards and downwards revisions of earnings forecasts for stocks added to the MSCI Taiwan Index 22
4.3.4 Price responses for stocks added to the MSCI Taiwan Index before and after Internet bubble burst 23
4.4 Price effects displayed by stocks deleted from the MSCI Taiwan Index 23
4.4.1 Price responses of large-scale and small-scale stocks deleted from the MSCI Taiwan Index 24
4.4.2 Price responses of electronic and non-electronic stocks deleted from the MSCI Taiwan Index 25
4.4.3 Price responses for stocks deleted from the MSCI Taiwan Index before and after Internet bubble burst 26
5. Conclusion 27
Chapter III. Analyst Responses of Earnings Forecasts to Stocks Indices Adjustments
1. Introduction 60
2. Literature Review 62
2.1 The performance of local and foreign analysts 62
2.2 Forecast accuracy of analysts and optimism 63
3. Data and methodology 64
3.1 Sample description 64
3.2. Analyst earnings forecast 66
3.3. Absolute forecast error 68
4. Changes in analysts’ EPS forecast 69
4.1 Magnitude of EPS forecast changes for firms added to the Nikkei 225 Index and the matched firms 69
4.2 Magnitude of EPS forecast changes for firms added to the MSCI Taiwan Index and the matched firms 72
5. Absolute forecast errors of analysts 74
5.1 Absolute forecast errors for firms added to the Nikkei 225 Index and the matched firms 74
5.2 Absolute forecast errors for firms added to the MSCI Taiwan Index and the matched firms 76
6. Conclusions 77
Chapter IV. Conclusions and Future Studies 96
Appendices…………………………………………………………… 99
References…………………………………………………………… 100

List of Figures
Figure 2.1 Mean cumulative abnormal returns for stocks added to the Nikkei 225, 1991- 2008. 29
Figure 2.2 Mean cumulative abnormal returns for large-scale and small-scale stocks added to the Nikkei 225, 1991- 2008. 30
Figure 2.3 Mean cumulative abnormal returns for electronic and non-electronic stocks added to the Nikkei 225, 1991- 2008. 31
Figure 2.4 Mean cumulative abnormal returns for upwards and downwards earnings forecast revision stocks added to the Nikkei 225, 1991- 2008. 32
Figure 2.5 Mean cumulative abnormal returns for stocks added to the Nikkei 225 Index before and after the Internet bubble burst 33
Figure 2.6 Mean cumulative abnormal returns for stocks deleted from the Nikkei 225 Index, 1991- 2008. 34
Figure 2.7 Mean cumulative abnormal returns for large-scale and small-scale stocks deleted from the Nikkei 225 Index, 1991- 2008. 35
Figure 2.8 Mean cumulative abnormal returns for electronic and non-electronic stocks deleted from the Nikkei 225, 1991- 2008. 36
Figure 2.9 Mean cumulative abnormal returns for stocks deleted from the Nikkei 225 Index before and after the Internet bubble burst 37
Figure 2.10 Mean cumulative abnormal returns for stocks added to the MSCI Taiwan Index, 1999- 2007. 38
Figure 2.11 Mean cumulative abnormal returns for large-scale and small-scale stocks added to the MSCI Taiwan Index, 1999- 2007. 39
Figure 2.12 Mean cumulative abnormal returns for electronic and non-electronic stocks added to the MSCI Taiwan Index, 1999- 2007. 40
Figure 2.13 Mean cumulative abnormal returns for upwards and downwards earnings forecast revision stocks added to the MSCI Taiwan Index, 1999- 2007. 41
Figure 2.14 Mean cumulative abnormal returns for stocks added to the MSCI Taiwan Index before and after the Internet bubble burst 42
Figure 2.15 Mean cumulative abnormal returns for stocks deleted from the MSCI Taiwan Index, 1999- 2007. 43
Figure 2.16 Mean cumulative abnormal returns for large-scale and small-scale stocks deleted from the MSCI Taiwan Index, 1999- 2007. 44
Figure 2.17 Mean cumulative abnormal returns for electronic and non-electronic stocks deleted from the MSCI Taiwan Index, 1999- 2007. 45
Figure 2.18 Mean cumulative abnormal returns for stocks deleted from the MSCI Taiwan Index before and after the Internet bubble burst 46

List of Tables and Appendices
Tables
Table 2.1 Changes in the Nikkei 225 Index and MSCI Taiwan Index. 47
Table 2.2 The price effects of stocks added to or deleted from the Nikkei 225 Index, 1991- 2008. 48
Table 2.3 Mean cumulative abnormal returns from day 2 to day T for stocks added to or deleted from the Nikkei 225 Index, 1991- 2008. 49
Table 2.4 Analysis of CARs of category 1: Large-scale and Small-scale stocks added to the Nikkei 225 Index, 1991- 2008. 50
Table 2.5 Analysis of CARs of category 2: Electronic and Non-Electronic stocks added to the Nikkei 225 Index, 1991- 2008. 50
Table 2.6 Analysis of CARs of category 3: Upwards and Downwards earnings forecast revision stocks added to the Nikkei 225 Index, 1991- 2008. 51
Table 2.7 Analysis of CARs for stocks added to the Nikkei 225 Index before and after the Internet bubble burst 51
Table 2.8 Analysis of CARs of category 1: Large-scale and Small-scale stocks deleted from the Nikkei 225 Index, 1991- 2008. 52
Table 2.9 Analysis of CARs of category 2: Electronic and Non-Electronic stocks deleted from the Nikkei 225 Index, 1991- 2008. 52
Table 2.10 Analysis of CARs for stocks deleted from the Nikkei 225 Index before and after the Internet bubble burst 53
Table 2.11 The price effects of stocks added to or deleted from the MSCI Taiwan Index, 1999- 2007. 54
Table 2.12 Mean cumulative abnormal returns from day 2 to day T for stocks added to or deleted from the MSCI Taiwan Index, 1991- 2007. 55
Table 2.13 Analysis of CARs of category 1: Large-scale and Small-scale stocks added to the the MSCI Taiwan Index, 1999- 2007. 56
Table 2.14 Analysis of CARs of category 2: Electronic and Non-Electronic stocks added to the MSCI Taiwan Index, 1999- 2007. 56
Table 2.15 Analysis of CARs of category 3: upwards and downwards earnings forecast revision stocks added to the MSCI Taiwan Index, 1999- 2007. 57
Table 2.16 Analysis of CARs for stocks added to the MSCI Taiwan Index before and after the Internet bubble burst 57
Table 2.17 Analysis of CARs of category 1: Large-scale and Small-scale stocks deleted from the the MSCI Taiwan Index, 1999- 2007. 58
Table 2.18 Analysis of CARs of category 2: Electronic and Non-Electronic stocks deleted from the MSCI Taiwan Index, 1999- 2007. 58
Table 2.19 Analysis of CARs for stocks deleted from the MSCI Taiwan Index before and after the Internet bubble burst 59
Table 3.1 Changes in analysts’ EPS forecasts for firms added to the Nikkei 225 Index and the matched firms 80
Table 3.2 Changes in analysts’ EPS forecasts for firms added to the MSCI Taiwan Index and the matched firms 84
Table 3.3 EPS absolute forecast errors for firms added to the Nikkei 225 Index and the matched firms 88
Table 3.4 EPS absolute forecast errors for firms added to the MSCI Taiwan Index and the matched firms 92

Appendices
Appendix A: The Descriptive Statistics of P, MV and VO for Nikkei 225 Index Addition Firms and the Matched Firms. 99
Appendix B: The Descriptive Statistics of P, MV and TU for MSCI Taiwan Index Addition Firms and the Matched Firms. 99		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0093357504en_US
dc.subject (關鍵詞) 指數調整zh_TW
dc.subject (關鍵詞) 價格反應zh_TW
dc.subject (關鍵詞) 絕對預測誤差zh_TW
dc.subject (關鍵詞) index adjustmenten_US
dc.subject (關鍵詞) price responseen_US
dc.subject (關鍵詞) absolute forecast erroren_US
dc.title (題名) 股票指數調整的價格變動效果和分析師的盈餘預測反應zh_TW
dc.title (題名) The Effects of changes in price and analyst responses of earnings forecasts to stocks indices adjustmentsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Bacmann, J. F. and G. Bolliger (2001), “Who Are the Best? Local Versus Foreign Analysts on Latin American Stock Markets,” working paper, University of Neuchatel.
Bae, K. H., R. M. Stulz and H. Tan (2008), “Do Local Analysts Know More? A Cross-Country Study of the Performance of Local Analysts and Foreign Analysts,” Journal of Financial Economics, Vol. 88, 581-606.
Barber, B. M. and T. Odean (2000), “Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors,” Journal of Finance, Vol.55, 773-806.
Brennan, M. J. and H. H. Cao (1997), “International Portfolio Investment Flows,” Journal of Finance, Vol. 52, 1851-1880.
Chakrabarti, R., W. Huang, N. Jayaraman and J. Lee (2005), “Price and Volume Effects of Changes in MSCI Indices – Nature and Causes,”Journal of Banking and Finance, Vol. 29, 1237-1264.
Chen, H., G. Noronha and V. Singal (2004), “The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and A New Explanation,” Journal of Finance, Vol. 59, 1901-1930.
Chen, H., G. Noronha and V. Singal (2006), “S&P 500 Index Changes and Investor Awareness,” Journal of Investment Management, Vol. 4, 23-37.
Clement, M. B. (1999), “Analyst Forecast Accuracy: Do Ability, Resources, and Portfolio Complexity Matter?,” Journal of Accounting and Economics, Vol. 27, 285-303.
Conroy R. M. and R. S. Harris (1995), “Analysts` Earnings Forecast in Japan: Accuracy and Sell-Side Optimism,” Pacific-Basin Finance Journal, Vol. 3, 393-408.
De Bondt, W. F. M. and W. P. Forbes (1999), “Herding in Analyst Earnings Forecasts: Evidence from the United Kingdom,” European Financial Management, Vol. 5, 143-163.
Denis, D. K., J. J. McConnell, A. V. Ovtchinnikov and Y. Yu (2003), “S&P 500 Index Additions and Earnings Expectations,” Journal of Finance, Vol. 58, 1821-1840.
Dhillon, U. and H. Johnson (1991), “Changes in the Standard and Poor’s List,” Journal of Business, Vol. 64, 75-85.
Duru, A. and D. M. Reeb (2002), “International Diversification and Analysts` Forecast Accuracy and Bias,” Accounting Review, Vol. 77, 415-433.
Froot, K. A., P. G. J. O’Connell and M. S. Seasholes (2001), “The Portfolio Flows of International Investors,” Journal of Financial Economics, Vol. 59, 151–193.
Grinblatt, M. and M. Keloharju (2000), “The Investment Behavior and Performance of Various Investor Types: A Study of Finland’s Unique Data Set,” Journal of Financial Economics, Vol.55, 43-67.
Grinblatt, M., S. Titman, and R. Wermers (1995), “Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior,” American Economic Review, Vol. 85, 1088-1105.
Gu F. and W. Wang (2005), “Intangible Assets, Information Complexity, and Analysts’ Earnings Forecasts,” Journal of Business Finance & Accounting, Vol. 32, 1673-1702.
Guay W., D. Haushalter and B. Minton (2003), “The Influence of Corporate Risk Exposures on the Accuracy of Earnings Forecasts,” working paper.
Hanaeda, H. and T. Serita (2003), “Price and Volume Effects Associated with a Change in the Nikkei 225 List: New Evidence from the Big Change on April 2000,” International Finance Review, Vol. 4, 199-225.
Harris, L. and E. Gurel (1986), “Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures, ” Journal of Finance, Vol. 41, 815-829.
Hau, H. (2001), “Location Matters: An Examination of Trading Profits,” Journal of Finance, Vol. 56, 1959-1983.
Hope, O. –K. (2003), “Disclosure Practices, Enforcement of Accounting Standards, and Analysts’ Forecast Accuracy: An International Study,” Journal of Accounting Research, Vol. 41, 235-272.
Kaniel R., G. Saar, and S. Titman (2008), “Individual Investor Trading and Stock Returns,” Journal of Finance, Vol. 63, 273-310.
Kaul, A., V. Mehrotra and R. Morck (2000), “Demand Curves for Stocks Do Slope Down: New Evidence from an Index Weights Adjustment,” Journal of Finance, Vol. 55, 893-912.
Ke, B. and Y. Yu (2006), “The Effect of Issuing Biased Earnings Forecasts on Analysts’ Access to Management and Survival,” Journal of Accounting Research, Vol. 44, 965–1000.
Liu, S. (2000), “Changes in the Nikkei 500: New Evidence for Downward Sloping Demand Curves for Stocks,” International Review of Finance, Vol. 1, 245–267.
Loh, R. K. and G. M. Mian (2006), “Do Accurate Earnings Forecasts Facilitate Superior Investment Recommendations?,” Journal of Financial Economics, Vol. 80, 455–483.
Malloy, C. J. (2005), “The Geography of Equity Analysis,” Journal of Finance, Vol. 60, 719- 775.
Odean, T. (1998), “Are Investors Reluctant to Realize Their Losses?,” Journal of Finance, Vol. 53, 1775-1798.
Okada, K., N. Isagawa and K. Fujiwara (2006), “Addition to the Nikkei 225 Index and Japanese Market Response: Temporary Demand Effect of Index Arbitrageurs”, Pacific-Basin Finance Journal, Vol. 14, 395–409.
Seasholes, M. S. (2000), “Smart Foreign Traders in Emerging Markets,” working paper, Harvard University.
Shankar, S. G. and J. M. Miller (2006), “Market Reaction to Changes in the S&P SmallCap 600 Index,” Financial Review, Vol. 41, 339-360.
Shleifer, A. (1986), “Do Demand Curves for Stocks Slope Down?,” Journal of Finance, Vol. 41, 579-590.
Shu, P. G., Y. H. Yeh and Y. C. Huang, (2004), “Stock Price and Trading Volume Effects Associated with Changes in the MSCI Free Indices: Evidence from Taiwanese Firms Added to and Deleted from the Indices,” Review of Pacific Basin Financial Markets and Policies, Vol. 7, 471-491.
Sias R. W. (1997), “The Sensitivity of Individual and Institutional Investors` Expectations to Changing Market Conditions: Evidence from Closed-End Funds,” Review of Quantitative Finance and Accounting, Vol. 8, 245-269.
Wurgler, J. and E. Zhuravskaya (2002), “Does Arbitrage Flatten Demand Curves for Stocks?,” Journal of Business, Vol. 75, 583-608.		zh_TW