近年來，被動式投資與指數化投資規模持續擴大，使S&P 500 成分股調整成為
資本市場高度關注的事件。然而，S&P 500 成分股退出並非單一且同質的事件，而
是可能來自不同機制。本研究旨在探討S&P 500 成分股退出指數之形成機制，並比
較不同退出原因下，公司特徵對退出風險之影響是否存在差異。本研究以2001 年1
月12 日至2024 年12 月31 日之S&P 500 成分股為研究樣本，將退出原因區分為結
構性退出與委員會裁決退出。結構性退出主要包含合併、收購、分割與股份類別取
消；委員會裁決退出則指公司因市值、公司身份、自由流通比例或獲利標準等條件
不再符合指數規則，而由指數委員會裁決移出。本研究採用競爭風險架構下之特定
原因風險Cox 模型，並同時處理左截斷與右設限問題，以分析市場交易特徵、財務
特徵與產業結構特徵對不同退出原因之影響。
實證結果顯示，S&P 500 成分股退出具有明顯的原因異質性。首先，市值對結
構性退出與委員會裁決退出皆呈現顯著負向影響，代表公司市值越高，退出風險越
低。其次，對結構性退出而言，資產負債比率與市值淨值比整體上呈現負向影響，
但市值淨值比的效果會因產業別而有所不同，顯示結構性退出不必然代表公司失
敗，而可能反映公司具有被併購、分割或重新配置的策略價值。最後，對委員會裁
決退出而言，市值越高顯著降低退出風險，越接近退出日市場流動性變化越大與同
產業公司數越多則會提高退出風險，顯示委員會裁決退出與公司市場代表性、產業
競爭地位及指數適切性下降有關。整體而言，本研究證實將S&P 500 成分股退出視
為競爭風險事件，有助於避免混淆不同退出原因背後的經濟意涵。

In recent years, the rapid growth of passive and index-based investment has made
S&P 500 constituent changes important events in capital markets. However, deletion from
the S&P 500 is not a homogeneous event, but may arise from different mechanisms. This
study examines S&P 500 constituent deletions and compares whether firm characteristics
affect deletion risk differently across deletion causes. Using S&P 500 constituents from
January 12, 2001 to December 31, 2024, the research classifies deletion events into structural
deletion and committee deletion. Structural deletion includes mergers, acquisitions,
spin-offs, and share class eliminations. Committee deletion refers to removals caused by
firms no longer satisfying index requirements such as market capitalization, company status,
public float, or profitability criteria. This study applies a cause-specific hazard Cox
model under a competing risks framework and simultaneously accounts for left truncation
and right censoring, in order to analyze the effects of market trading characteristics, financial
characteristics, and industry structure characteristics on different deletion causes.
The empirical results show heterogeneity across deletion causes. First, market capitalization
has a significantly negative effect on both structural deletion and committee
deletion, indicating that firms with larger market capitalization face lower deletion risk.
For structural deletion, debt ratio and market-to-book ratio generally have negative effects,
while the effect of market-to-book ratio varies across industries. On the other hand,
the findings suggest that committee deletion is associated with declining market representation,
weaker competitive position within the same industry, and reduced index eligibility.
Overall, this study demonstrates that treating S&P 500 constituent deletion as a competing
risks event helps distinguish the economic meanings of different causes.

論文審定書. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . i
誌謝. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ii
摘要. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . iii
Abstract . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . iv
目錄. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . v
圖次. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . vii
表次. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . viii
第一章緒論. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.1 研究背景. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 研究目標. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
第二章文獻探討. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
2.1 S&P 500 成分股之官方篩選標準與調整機制. . . . . . 4
2.1.1 S&P 500 成分股納入資格標準. . . . . . . . . . . . . . . . . 4
2.1.2 S&P 500 成分股退出原因. . . . . . . . . . . . . . . . . . . 6
2.1.3 公告與生效機制. . . . . . . . . . . . . . . . . . . . . . . . 6
2.1.4 S&P 500 成分股退出差異. . . . . . . . . . . . . . . . . . . 7
2.2 S&P 500 成分股退出之原因及退出後影響. . . . . . . . 7
2.2.1 S&P 500 成分股退出原因與機制形成. . . . . . . . . . . 7
2.2.2 S&P 500 成分股退出後之股價反應與變遷. . . . . . .8
2.3 財務特徵對公司被併購與分割之關聯. . . . . . . . . . .11
2.3.1 成為被併購公司之原因與財務特徵. . . . . . . . . . . .11
2.3.2 公司分割之原因與財務特徵. . . . . . . . . . . . . . . . . . 12
第三章資料與研究方法. . . . . . . . . . . . . . . . . . . . . . . . . . . .15
3.1 資料來源與處理. . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
3.1.1 資料來源. . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
3.1.2 樣本建構與事件分類. . . . . . . . . . . . . . . . . . . . . . 16
3.1.3 左截斷與右設限. . . . . . . . . . . . . . . . . . . . . . . . 21
3.2 研究模型. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
3.2.1 競爭風險架構. . . . . . . . . . . . . . . . . . . . . . . . . 24
3.2.2 整體存活函數與各原因累積發生函數. . . . . . . . . 25
3.2.3 Kaplan–Meier 存活曲線. . . . . . . . . . . . . . . . . . . . 27
3.2.4 Aalen–Johansen 累積發生函數估計. . . . . . . . . . . 27
3.2.5 Cause-Specific Hazard Cox 比例風險模型. . . . . . 28
第四章研究結果與討論. . . . . . . . . . . . . . . . . . . . . . . . . . . .30
4.1 敘述統計. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
4.2 Cause-Specific Hazard Cox 模型結果. . . . . . . . . . . . .42
4.3 研究討論. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
第五章結論與建議. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
5.1 研究結論. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
5.2 研究貢獻. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
5.3 政策與實務意涵. . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
5.4 研究限制. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
5.5 未來研究建議. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
參考文獻. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61

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