Passive trading and firm performance: A quasi-natural experiment using the TSE-OSE merger in Japan
Passive trading and firm performance: A quasi-natural experiment using the TSE-OSE merger in Japan
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被动交易和公司绩效：利用日本 TSE-OSE 合并进行的准自然实验
DOI：
10.1016/j.pacfin.2021.101666
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发表时间：
2021
影响因子：
4.6
通讯作者：
Yamada Kazuo
中科院分区：
文献类型：
--
作者：
Mohsni Sana;Otchere Isaac;Yamada Kazuo
本研究以大坂证券交易所（OSE）与东京证券交易所（TSE）合并，并将大坂证券交易所第一部的上市公司纳入TOPIX（许多ETF和共同基金所关注的著名市场指数）为例，作为准自然实验，考察被动交易对公司业绩的影响。我们的文件的第一个tercile OSE只上市公司的积极的市场反应和轻微显着的积极的异常回报的第一tercile OSE公司，也在东京证券交易所双重上市的合并公告日左右。此外，我们观察到一个显着的积极反应的第一个三分之一的OSE只上市公司在指数纳入前几周。金融机构投资于第一个三分之一，仅OSE 1公司的百分比在纳入后期间也有所增加。东证指数的现任者在合并公告日经历了负的异常收益。从长期来看，加入东证指数的公司与已经进入指数的公司相比，既没有表现出更高的公司价值，也没有表现出更好的经营业绩。我们的研究结果是一致的文献链，发现没有长期的显着影响，被动投资者对公司业绩。
We examine the impact of passive trading on firm performance using, as a quasi-natural experiment the merger between the Osaka Stock Exchange (OSE) and the Tokyo Stock Exchange (TSE) and the attendant inclusion of firms listed on the first section of the Osaka Stock Exchange in the TOPIX, a well-known market index covered by many ETFs and mutual funds. We document a positive market reaction for the first tercile OSE-only listed firms and marginally significant positive abnormal returns for the first tercile OSE firms that were also dual listed on the TSE around the merger announcement date. In addition, we observe a significantly positive reaction for the first tercile OSE-only listed firms in the weeks preceding index inclusion. The percentage of financial institutions investing in the first tercile, OSE1-only firms also increased in the post-inclusion period. The incumbents of the TOPIX Index experienced negative abnormal returns on the merger announcement date. In the long run, firms added to TOPIX exhibit neither higher firm value nor better operating performance than their counterparts that were already in the index. Our results are consistent with the strand of literature that finds no long-term significant impact of passive investors on firm performance.