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1.
Recent studies propose that limited investor attention causes market underreactions. This paper directly tests this explanation by measuring the information load faced by investors. The investor distraction hypothesis holds that extraneous news inhibits market reactions to relevant news. We find that the immediate price and volume reaction to a firm's earnings surprise is much weaker, and post-announcement drift much stronger, when a greater number of same-day earnings announcements are made by other firms. We evaluate the economic importance of distraction effects through a trading strategy, which yields substantial alphas. Industry-unrelated news and large earnings surprises have a stronger distracting effect. 相似文献
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The Disposition Effect and Underreaction to News 总被引:4,自引:1,他引:4
ANDREA FRAZZINI 《The Journal of Finance》2006,61(4):2017-2046
This paper tests whether the “disposition effect,” that is the tendency of investors to ride losses and realize gains, induces “underreaction” to news, leading to return predictability. I use data on mutual fund holdings to construct a new measure of reference purchasing prices for individual stocks, and I show that post‐announcement price drift is most severe whenever capital gains and the news event have the same sign. The magnitude of the drift depends on the capital gains (losses) experienced by the stock holders on the event date. An event‐driven strategy based on this effect yields monthly alphas of over 200 basis points. 相似文献
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The question of why firms exercise stock splits has inspired research for some time. Signalling and optimal trading range hypotheses are possible explanations for stock splits. This paper considers the sociological aspects of maintaining a stable target-price habit. It argues that one of the principal reasons for stock splits is to conform to the market norm, which is established by mutual reinforcement among financial analysts, managers, and investors. Models based on economic reasons alone do not fully explain the rationality of stock splits. 相似文献
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Michael S. Rozeff 《The Journal of Finance》1998,53(1):335-349
Mutual fund splits occur in high-priced funds after unusually high returns. Split factors are related to the deviation of a fund's price from the mean of all fund prices. Post-split prices are below the mean of other funds' prices. Post-split numbers of shareholders and assets do not increase compared with funds having similar rates of asset growth. However, I find evidence that mutual fund splits bring per account shareholdings back up to normal levels. I argue that signaling, liquidity, and tick size theories do not apply to mutual fund splits. 相似文献
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Long-run Performance after Stock Splits: 1927 to 1996 总被引:2,自引:0,他引:2
We measure the postsplit performance of 12,747 stock splits from 1927 to 1996 using two methods to measure abnormal returns: size and book‐to‐market reference portfolios with bootstrapping, and calendar‐time abnormal returns combined with factor models. Between 1927 and 1996, neither method applied to splits 25 percent or larger finds performance significantly different from zero. Over selected subperiods, subsamples of 2–1 splits restricted by book‐to‐market availability requirements display positive abnormal returns using some methods. However, these samples show small or negligible abnormal returns using the calendar‐time method. Overall, the stock split evidence against market efficiency is neither pervasive nor compelling. 相似文献
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FRANK J. FINN 《Journal of Business Finance & Accounting》1974,1(1):93-106
Although it has long been recognized that a stock split merely changes the packaging of an investor's claim to earnings, there is widespread belief in the financial community that the split confers some substantive benefits on stockholders. This paper describes an empirical investigation of the effect of split action on stock price. The split action was found to have an insignificant effect, even at a 10% level, on changes in market price over the 12 month period surrounding the split. 相似文献
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This study investigates empirically why firms split their stock or distribute stock dividends and why the market reacts favorably to these distributions. The findings suggest that stock splits are mainly aimed at restoring stock prices to a “normal range.” Some support can also be found for the oft-mentioned signalling motive of stock splits. Stock dividends are altogether different from stock splits, and they appear to be a decreasing phenomenon. The clue to stock dividend distributions may lie in their perceived substitution for relatively low cash dividends. 相似文献
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Abstract: This paper investigates stock dividends and stock splits on the Copenhagen Stock Exchange (CSE), which is of interest because several of the more recent explanations for a stock market reaction can be ruled out. The main findings are that the announcement effect of stock dividends as well as stock splits is closely related to changes in a firm's payout policy, but that the relationship differs for the two types of events. A stock dividend implies an increase in nominal share capital and hence a decrease in retained earnings. Firms announcing stock dividends finance growth entirely by debt (explaining the need for an increase in nominal share capital) and retained earnings. Basically all firms announcing a stock dividend with a split factor of less than two can also afford to increase their total cash dividends permanently, at least proportionally to the increase in share capital, leading to a significant announcement effect of 4.23%. Firms announcing a stock dividend with a split factor of two or more also increase total cash dividends permanently, but less than proportionally to the increase in share capital. This leads to an insignificant announcement effect of 0.08%. These findings support a retained earnings/signaling hypothesis. For stock splits, no separate announcement effect was found when a firm's payout policy was controlled for. This lends support to the idea that a stock split per se is a cosmetic event on the CSE and is also consistent with the fact that making a stock split on the CSE is virtually cost free. 相似文献
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James J. Angel 《实用企业财务杂志》1997,10(3):59-67
Thanks to stock splits, the average nominal share price has been amazingly stable in the United States. The average NYSE share price has fluctuated within the $30 to $40 range since the late 1930s—a period in which most consumer prices have increased by a factor of 10 and the S&P index has risen over 1,500%. Why has this nominal price been so stable when every other price has increased so much? And why do typical stock prices vary so greatly among different countries? For example, the median nominal stock price ranges from about $2 in Hong Kong and $7 in the U.K., to $103 in France and over $600 in Switzerland. The author's recent research suggests that typical stock prices vary across countries in ways that reflect primarily differences in how markets in each country set their “tick” rules—the rules governing the minimum price variation that can occur in a stock (in the U.S., for example, the tick was recently reduced from $1/8 to $1/16). Companies, on average, appear to respond to the resulting differences in tick size by adjusting the number of their shares outstanding so that the tick size relative to the nominal share price remains relatively constant. In fact, a tick size equal to about 25 basis points of the median share price “appears to be a universal norm” across global markets. This article explores how and why a company might wish to affect the relative tick size for its stock by splitting—and, in so doing, it suggests a “new theory” of stock splits. The theory also suggests that the optimal tick size for any given company will vary according to its size, visibility, and riskiness. 相似文献
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We document that acquiring firms are more likely than nonacquiring firms to split their stocks before making acquisition announcements, especially when acquisitions are financed by stock and when the deals are large. Our findings support the hypothesis that some acquiring firms use stock splits to manipulate their equity values prior to acquisition announcements. Using earnings quality as a proxy for firms' intention to manipulate, we find that acquirers with low earnings quality (i.e., acquirers that are more likely to use stock splits to manipulate their stock values) have lower long‐run stock returns compared with their benchmarks, especially when the deals are financed with stock. In contrast, acquirers with high earnings quality do not show that pattern. Our evidence complements and extends the findings in the literature that some acquirers manipulate their stock prices before stock‐swap acquisitions. This study suggests that target shareholders should use information such as earnings quality and stock splits to discriminate among acquirers and ensure that exchanges are conducted on fair terms. 相似文献
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我国股票市场受国内重大事件影响的实证分析——以航天板块为例 总被引:2,自引:0,他引:2
股票市场中航天版块的市场行情除受到大盘的影响之外,还与航天产业重大事件有着密切的联系.运用事件研究法分析重大航天事件对中国股票市场航天版块行情的影响可以看出:航天重大事件带来了航天板块股票市场价格在之后三个交易日内出现急剧上升或下降趋势,但影响的时间延续性较短,波动持续时间不长,股民对航天重大事件的炒作和股民"羊群效应"是航天板块在航天重大事件短期内出现短期剧烈波动的主要影响因素. 相似文献
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We examine the influence of firm ownership composition on both the abnormal returns at the announcement of a stock split and liquidity changes following a stock split. We find three results. First, the largest post‐split increase in institutional ownership occurs for firms that had low institutional ownership before the split. Second, changes in liquidity are negatively related to the level of institutional ownership before the split. Last, the abnormal return following a split is negatively related to the level of institutional ownership before the split. These findings are important as they shed new light on the source of stock split announcement returns. 相似文献
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沪市A股过度反应和反应不足的实证研究 总被引:6,自引:0,他引:6
在对股票超额收益率采用两种不同的计算方法后发现,在投资组合的形成期内表现最好的赢者组合和表现最差的输者组合,绝大多数在持有期内的收益率都不能高于市场平均收益率,而且随着持有期的延长,赢者组合和输者组合负的超额收益率开始变得显著,这说明前者存在过度反应而后者存在反应不足.此外,两个组合之间收益率的差距却始终不显著,无论是在赢者组合表现得比输者组合好的情况下还是输者组合表现得比赢者组合好的情况下,两者的差异在统计上全都不显著.这样,利用两组合收益上差距的动量策略和反转策略无法获得显著的收益,这两种策略在沪市A股中基本是不可行的. 相似文献
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The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks 总被引:4,自引:0,他引:4
We find that on average, an announcement of rising unemployment is good news for stocks during economic expansions and bad news during economic contractions. Unemployment news bundles three types of primitive information relevant for valuing stocks: information about future interest rates, the equity risk premium, and corporate earnings and dividends. The nature of the information bundle, and hence the relative importance of the three effects, changes over time depending on the state of the economy. For stocks as a group, information about interest rates dominates during expansions and information about future corporate dividends dominates during contractions. 相似文献
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我国上市公司高送转公告效应的实证研究 总被引:3,自引:0,他引:3
为检验上市公司定高送转预案公告发布对其股票价格的影响,本文以2009年至2010年沪深两市推出高送转预案的285家上市公司为样本,选取公告日前10日至公告日后20日为事件窗口,运用事件研究法对高送转公告效应进行实证研究。结果表明:中国股市具有明显的高送转公告效应,上市公司高送转预案公告发布前后股票具有显著的正价格效应,会产生持续的累计异常正收益;然而,由于信息不对称,部分投资者通常会提前获得有关高送转的内幕信息并提前买入,并以此获得可观的超额收益,而普通投资在公告发布后买入只能获得小部分的超额收益并且需要承担更大的风险。 相似文献
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This paper tests the prediction of the tax-option hypothesis that the market impact of stock splits would be reduced by the 1986 Tax Reform Act which eliminated the difference between long- and short-term capital gains tax rates. The results show significant excess returns on stock split announcement and ex-days even after 1986. The announcement and ex-day excess returns are similar in different periods before and after the Act. Further, there is no significant relationship between announcement excess returns and increase in returns volatility following splits. These findings are inconsistent with the tax-option hypothesis. 相似文献
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The Stock Market Reaction to Investment Announcements: The Case of Individual Capital Expenditure Projects 总被引:1,自引:0,他引:1
Bruce M. Burton A. Alasdair Lonie & David M. Power 《Journal of Business Finance & Accounting》1999,26(5&6):681-708
In this paper we provide novel evidence about the market reaction to capital expenditure announcements in the UK using a sample of nearly 500 disclosures made between 1989 and 1991. First, we show that the market reaction to joint venture announcements is significantly positive, whilst similar announcements from individual companies do not elicit any response. Second, we find that the market reaction to single company investments is positively related to the size of the expenditure, but only for projects which immediately generate cash. Finally, we report that the variability in the market response to announcements which follow large cash inflows is significantly lower than the variability in investors' reactions to announcements which are not preceded by such inflows. 相似文献