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Stock Split Bubble and Livedoor-Shock

Listed author(s):
  • 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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    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
    Handle: RePEc:osk:wpaper:1128
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