| Project/Area Number |
18530244
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Hosei University |
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Principal Investigator |
KISHIMOTO Naoki Hosei University, Faculty of Business Administration, Professor (50241766)
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| Co-Investigator(Kenkyū-buntansha) |
KIM Yon-Jin Hosei University, Faculty of Business Administration, Associate Professor (80326008)
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| Project Period (FY) |
2006 – 2007
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| Project Status |
Completed (Fiscal Year 2007)
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| Budget Amount *help |
¥3,820,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥420,000)
Fiscal Year 2007: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
Fiscal Year 2006: ¥2,000,000 (Direct Cost: ¥2,000,000)
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| Keywords | stocks / stock splits / stock prices / efficient market hypothesis / behavioral finance |
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| Research Abstract |
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.
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