Stock Split Bubble and Livedoor-Shock
AbstractThis 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 InfoPaper 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.
Length: 22 pages
Date of creation: Oct 2011
Date of revision:
Stock Split Bubble; Livedoor-Shock; Investor Sentiment;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-15 (All new papers)
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