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Stock Split Bubble and Livedoor-Shock

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  • Youki Kohsaka

    () (Graduate School of Economics, Osaka University)

Abstract

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.

Suggested Citation

  • Youki Kohsaka, 2011. "Stock Split Bubble and Livedoor-Shock," Discussion Papers in Economics and Business 11-28, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
  • Handle: RePEc:osk:wpaper:1128
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    More about this item

    Keywords

    Stock Split Bubble; Livedoor-Shock; Investor Sentiment;

    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

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