Analysis of Effects of Large Stock Splits on Stock Prices

2000年后，随着日本股市放松管制，许多上市公司进行了大规模的股票拆分(拆分比率为2或更高)。这项研究证实，股票价格在拆分前和支付日期之间的一段时间内系统性地上涨和下跌，所基于的数据比格林伍德(即将发表在《金融研究评论》上)用来分析同一现象的数据更全面。股票价格在这一特殊时期的起伏可以被视为一个小泡沫及其随后的破裂。这项研究也证实了这一现象与Hong，Scheinkman，and Xong(2006，Journal of Finance，下称HSX)中讨论的转售选项是一致的。此外，本研究还发现了以下几点。(1)分拆比例越大，投资者对股票分拆的看法越不一致，泡沫就越大。(2)分拆比例越大，投资者对股票分拆的看法越不一致，泡沫后的崩盘就越大。(3)数据与HSX指出的乘数效应是一致的。(4)在泡沫之后的崩盘时，股票的成交量和波动性趋于下降。

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.