Kostnader för indexfonder vid revidering av OMXS30? : en eventstudie

Sammanfattning: This study make use of event study methodology to investigate effects on stock price derived from inclusion or exclusion in the index OMXS30. Effects on price derived from revision of indexes are difficult to theoretically explain. The purpose of this study is to investigate whether inclusion or exclusion from the index OMXS30 creates abnormal returns, and if the abnormal returns itself creates a cost for index funds which are tracking OMXS30. To calculate abnormal returns we calculate the actual returns for each stock, and compare the actual returns with expected returns calculated with the Fama and French Model. The event window extends from 15 days before the revision of the OMXS30 to 15 days after the revision of OMXS30. The result shows that no significant abnormal returns can be observed on the day the revision takes place. When stocks are included into OMXS30 they show significant negative average abnormal return for the period T+1 to T+15. When stock are excluded from OMXS30 they show significant negative average abnormal return for the period T-15 to T-1. This study provides brief support for the downward sloping theory and the price-pressure hypothesis explanatory power when analyzing abnormal returns related to revisions in OMXS30. This study does also carefully link the abnormal returns to special costs for index funds, driven by the mechanical and predictable behavior from the index funds themselves.