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Stock Split Bubble and Livedoor-Shock


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  • Youki Kohsaka

    (Graduate School of Economics, Osaka University)

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    This paper examines whether the stock split bubble in Japan burst by not only reformed system, but also Livedoor-shock. It is difficult to identify the effects of the both events, because they occurred in the same month (January, 2006). Thus, I identify both effects by dividing the samples into the following three; the split stocks in the old system and the split stocks in the new system, the news of which was announced before and after Livedoor-shock. Empirical results reveal that restriction on trade of newly issued stocks in the old system caused the run-up in the stock price and that Livedoor-shock dissolved the run-up of the split stocks. These results suggest that stock splits bubble burst because of not only the reform of the system, but also the change in investor sentiment about split stocks.

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    Bibliographic Info

    Paper provided by Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP) in its series Discussion Papers in Economics and Business with number 11-28.

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    Length: 22 pages
    Date of creation: Oct 2011
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    Handle: RePEc:osk:wpaper:1128

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    Keywords: Stock Split Bubble; Livedoor-Shock; Investor Sentiment;

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