Analysis of Effects of Large Stock Splits on Stock Prices

2000年以后，随着日本证券市场的放松管制，许多上市公司大规模拆分股票（拆分比例为2倍或更高）。这项研究证实，股票价格在分拆前和发薪日之间有系统地上涨和下跌，其基于的数据比Greenwood（即将发表在《金融研究评论》（Review of Financial Studies）上）用于分析同一现象的数据更全面。在这个特殊时期，股价的涨跌可以看作是一个小泡沫及其随后的破灭。本研究也证实了这一现象与Hong， Scheinkman, and Xiong（2006, Journal of Finance， HSX）所讨论的转售期权是一致的。此外，本研究还揭示了以下几点。(1)股票分割比例越大，投资者对股票分割的看法越多样化，泡沫越大。(2)股票分割比例越大，投资者对股票分割的看法越多样化，泡沫后的崩盘越大。(3)数据与HSX指出的乘数效应一致。(4)股票的换手率和波动率在泡沫破灭后崩盘时趋于下降。

After 2000, as Japanese stock market was deregulated, many listed firms split their stocks in large scale(with split ratios of 2 or higher). This research confirms that the stock prices systematically rose and fell during the period between the ex- and pay-dates of splits, based on data that are more comprehensive than the data Greenwood(forthcoming in Review of Financial Studies) used to analyze the same phenomenon. The rise and fall in stock price during this special period can be viewed as a mini-bubble and its subsequent collapse. This study also confirms that this phenomenon is consistent with the resale option as discussed in Hong, Scheinkman, and Xiong(2006, Journal of Finance, HSX hereafter).Furthermore, this study has uncovered the following. (1) The larger the split ratio is and the more diverse the investors' opinion about the stock split is, the greater the bubble is. (2) The larger the split ratio is and the more diverse the investors' opinion about the stock split is, the greater the crash following the bubble is. (3) The data is consistent with the multiplier effects HSX pointed out. (4) The turnover and volatility of the stock tends to decrease at the time of crash following the bubble.