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Share Capitalization Changes, Information, And the Australian Equity Market

Author

Listed:
  • Ray Ball

    (Australian Graduate School of Management, University of New South Wales.)

  • Philip Brown

    (Australian Graduate School of Management, University of New South Wales.)

  • Frank J. Finn

    (Department of Commerce, University of Queensland. The financial support of the Australian Research Grants Committee and the Reserve Bank of Australia is gratefully acknowledged.)

Abstract

Bonus issues, share splits and rights issues are studied in a replication and extension of the classic Fama, Fisher, Jensen and Roll study. On the Melbourne exchange, each category on average is associated with positive abnormal returns. However, the market does not appear to value bonuses or splits in their own right: prices appear to reflect the information released in the capitalization changes (and associated events). For example, share splits which were not accompanied by effective dividend increases did not experience positive abnormal returns. With one puzzling exception, the market behaviour was “efficient†.

Suggested Citation

  • Ray Ball & Philip Brown & Frank J. Finn, 1977. "Share Capitalization Changes, Information, And the Australian Equity Market," Australian Journal of Management, Australian School of Business, vol. 2(2), pages 105-125, October.
    • Handle: RePEc:sae:ausman:v:2:y:1977:i:2:p:105-125
    DOI: 10.1177/031289627700200202
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    References listed on IDEAS

    as
    1. Roll, Richard, 1977. "A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory," Journal of Financial Economics, Elsevier, vol. 4(2), pages 129-176, March.
    2. Gonedes, Nicholas J., 1973. "Evidence on the Information Content of Accounting Numbers: Accounting-based and Market-based Estimates of Systematic Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(3), pages 407-443, June.
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    Citations

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    Cited by:

    1. Terry S. Walter, 1984. "Australian Takeovers: Capital Market Efficiency and Shareholder Risk and Return," Australian Journal of Management, Australian School of Business, vol. 9(1), pages 63-118, June.
    2. Peter Praetz & Edward J.G. Wilson, 1978. "The Distribution of Stock Market Returns: 1958-1973," Australian Journal of Management, Australian School of Business, vol. 3(1), pages 79-90, April.
    3. Normazia, M. & Hassan, Taufiq & Ariff, M. & Shamsher, M., 2013. "Private placement, share prices, volume and financial crisis: An emerging market study," Global Finance Journal, Elsevier, vol. 24(3), pages 203-221.
    4. Balachandran, Balasingham & Faff, Robert & Tanner, Sally, 2004. "Further evidence on the announcement effect of bonus shares in an imputation tax setting," Global Finance Journal, Elsevier, vol. 15(2), pages 147-170, August.
    5. Karen Benson & Peter M Clarkson & Tom Smith & Irene Tutticci, 2015. "A review of accounting research in the Asia Pacific region," Australian Journal of Management, Australian School of Business, vol. 40(1), pages 36-88, February.
    6. Terrence J. Shevlin, 1981. "Measuring Abnormal Performance on the Australian Securities Market," Australian Journal of Management, Australian School of Business, vol. 6(1), pages 67-108, June.
    7. D. M. Emanuel, 1979. "Capitalisation Changes and Share Price Movements: New Zealand Evidence," Australian Journal of Management, Australian School of Business, vol. 4(2), pages 97-104, October.
    8. María Gutiérrez & Nino Papiashvili & Josep A. Tribó & Antonio B. Vazquez, 2020. "Managerial incentives for attracting attention," European Financial Management, European Financial Management Association, vol. 26(4), pages 896-937, September.

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