Analysis of Effects of Large Stock Splits on Stock Prices

大额拆股对股价的影响分析

• 批准号: 18530244
• 负责人: KISHIMOTO Naoki
• 金额: $ 2.44万
• 依托单位: Hosei University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2006
• 资助国家: 日本
• 起止时间: 2006 至 2007
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-18530244/
• 关键词: stocks; stock splits; stock prices; efficient market hypothesis; behavioral finance

After 2000, as Japanese stock market was deregulated, many listed firms split their stocks in large scale(with split ratios of 2 or higher). This research confirms that the stock prices systematically rose and fell during the period between the ex- and pay-dates of splits, based on data that are more comprehensive than the data Greenwood(forthcoming in Review of Financial Studies) used to analyze the same phenomenon. The rise and fall in stock price during this special period can be viewed as a mini-bubble and its subsequent collapse. This study also confirms that this phenomenon is consistent with the resale option as discussed in Hong, Scheinkman, and Xiong(2006, Journal of Finance, HSX hereafter).Furthermore, this study has uncovered the following. (1) The larger the split ratio is and the more diverse the investors' opinion about the stock split is, the greater the bubble is. (2) The larger the split ratio is and the more diverse the investors' opinion about the stock split is, the greater the crash following the bubble is. (3) The data is consistent with the multiplier effects HSX pointed out. (4) The turnover and volatility of the stock tends to decrease at the time of crash following the bubble.

2000年以后，随着日本股市的放松管制，许多上市公司进行了大规模的股票分割（分割比率达到2或更高）。这项研究证实，股票价格在股票分割的除息日和支付日之间系统性地上涨和下跌，所依据的数据比格林伍德（即将发表于《金融研究评论》）用于分析同一现象的数据更全面。 。这个特殊时期股价的上涨和下跌可以看作是一个小泡沫及其随后的崩溃。这项研究还证实了这种现象与 Hong、Scheinkman 和 Xiong（2006 年，Journal of Finance，HSX，以下简称）中讨论的转售选择一致。此外，这项研究还发现了以下内容。 （1）分拆比例越大，投资者对股票分拆的看法越多样化，泡沫越大。 (2)分股比例越大，投资者对分股的看法越多样化，泡沫带来的崩盘就越大。 (3) 该数据与HSX指出的乘数效应一致。 (4)泡沫破灭时股票的换手率和波动性趋于下降。