Analysis of Effects of Large Stock Splits on Stock Prices

2000年以后，随着日本股票市场的放松管制，许多上市公司进行了大规模的股票分割（分割比率为2或更高）。这项研究证实了股票价格在拆分的前和支付日之间的时间段内系统地上涨和下跌，基于比Greenwood（即将发表在《金融研究评论》上）用于分析同一现象的数据更全面的数据。在这一特殊时期，股票价格的上涨和下跌可以被看作是一个小泡沫及其随后的崩溃。本研究还证实了这一现象与Hong，Scheinkman，and Xiong（2006，Journal of Finance，HSX）中讨论的转售期权一致。(1)拆股比例越大，投资者对拆股的看法越不一致，泡沫就越大。(2)拆股比例越大，投资者对拆股的看法越不一致，泡沫之后的崩盘就越严重。(3)该数据与HSX指出的乘数效应一致。(4)在泡沫之后的崩溃时期，股票的成交量和波动性往往会减少。

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.