Stock Split Bubble and Livedoor-Shock
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.
|Date of creation:||Oct 2011|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.econ.osaka-u.ac.jp/|
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