Warianty tytułu
Języki publikacji
Abstrakty
Purpose: Many researchers claim that split has a positive effect on stock returns. However, if we observe more closely, we notice that this is only an accounting procedure. Therefore, the question arises as to whether stock prices should change. To answer this problem, we checked the market reaction to the division of shares on the Warsaw Stock Exchange.
Methodology: To verify our hypotheses, we used the event study analysis. Based on the Sharpe market model, we assumed that the price of the asset determines systematic risk and specific risk.
Findings: On the basis of conducted analyses, we found a positive market reaction to the first split information, while the announcement of General Meeting of Shareholders (GMS) resolutions generated a price correction. Moreover, split events initially caused an increase in abnormal returns. The research results are consistent with the efficient market hypothesis.
Research limitations: The sample size does not give an opportunity to check the impact of economic cycles. During the last 15 years, we found only 75 events of splits without any disruption event.
Originality: Analysis of three dates: information about the planned general meeting of shareholders regarding the split, publication of decisions taken at the general meeting, and the day of the split. (original abstract)
Methodology: To verify our hypotheses, we used the event study analysis. Based on the Sharpe market model, we assumed that the price of the asset determines systematic risk and specific risk.
Findings: On the basis of conducted analyses, we found a positive market reaction to the first split information, while the announcement of General Meeting of Shareholders (GMS) resolutions generated a price correction. Moreover, split events initially caused an increase in abnormal returns. The research results are consistent with the efficient market hypothesis.
Research limitations: The sample size does not give an opportunity to check the impact of economic cycles. During the last 15 years, we found only 75 events of splits without any disruption event.
Originality: Analysis of three dates: information about the planned general meeting of shareholders regarding the split, publication of decisions taken at the general meeting, and the day of the split. (original abstract)
Słowa kluczowe
Czasopismo
Rocznik
Tom
Numer
Strony
66--80
Opis fizyczny
Twórcy
autor
- Kozminski University, Warsaw, Poland
autor
- Kozminski University, Warsaw, Poland
Bibliografia
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- Buczek, S.B. (2005). Efektywność informacyjna rynków akcji: teoria a rzeczywistość. Warszawa: Szkoła Główna Handlowa.
- D'Mello, R., Tawatnuntachai, O. and Yaman, D. (2003). Why do firms issue equity after splitting stocks? Financial Review, 38, 323-350, https://doi.org/10.1111/1540-6288.00049.
- Desai, Anand S., Mahendrarajah Nimalendran and Subu Venkataraman (1998). Changes in Trading Activity Following Stock Splits and Their Effect on Volatility and the Adverse Information Component of the Bid-Ask Spread. Journal of Financial Research, 21, 159-183, https://doi.org/10.1111/j.1475-6803.1998.tb00678.x.
- Fama, E.F. (1965). The behavior of stock-market prices. The Journal of Business, 38(1), 34-105, https://doi.org/10.1086/294743.
- Fama, E.F. (1969). The adjustment of stock prices to new information. International Economic Review, 10(1), 1-21, https://doi.org/10.2307/2525569.
- Fernando, Ch.S., Krishnamurthy, S. and Spindt, P.A. (1999). Is share price related to marketability? Evidence from Mutual Fund Share Splits. Financial Management, 28(3), 54-67, https://doi.org/10.2307/3666183.
- FTSE Russel 2017. Annual Country Classification Review (2017). https://research.ftserussell.com/products/downloads/FTSE-Country-Classification-Update-2017.pdf (02.02.2020).
- Grinblatt, M., Masulis, R. and Titman, Sh. (1984). The valuation effects of stock splits and stock dividends. Journal of Financial Economics, 13(4), 461-490, https://doi.org/10.1016/0304-405X(84)90011-4.
- Grudziński, M. (2006). Magiczny zabieg: SPLIT. CEO, 6.
- Gurgul, H. (2006). Analiza zdarzeń na rynkach akcji. Kraków: Oficyna Ekonomiczna.
- Guo, S., Liu, M.H. and Song, W. (2008). Stock splits as a manipulation tool: Evidence from mergers and acquisitions. Financial Management, 37, 695-712, https://doi.org/10.1111/j.1755-053X.2008.00031.x.
- Honghui, Ch., Nguyen, H.H. and Singal, V. (2011). The information content of stock splits. Journal of Banking & Finance, 2454-2467, https://doi.org/10.1016/j.jbankfin.2011.02.005.
- Ikenberry, D.L., Rankine, G. and Stice, E.K. (1996). What do stock splits really signal? The Journal of Financial and Quantitative Analysis, 31(3), 357-375, https://doi.org/10.2307/2331396.
- May H., Chi-Chur Chao, Malone, Ch. and Young, M. (2017). Real determinants of stock split announcements. International Review of Economics and Finance, 51, 574-598, https://doi.org/10.1016/j.iref.2017.07.027.
- Pilotte, E. and Manuci, T. (1996). The market's response to recurring events. The case of stock splits. Journal of Financial Economics, 41, 111-127, https://doi.org/10.1016/0304-405X(95)00859-D.
- Soosung Hwang, Aneel Keswani and Shackleton, M.B. (2008). Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits. Journal of Banking & Finance, 32, 643-665, https://doi.org/10.1016/j.jbankfin.2007.04.028.
- Pasierbek, K. (2017). Split on the Warsaw Stock Exchange. Zeszyty Programu Top 15, 43-53.
- Podgórski, B. (2018a). Impact of the January Effect on Return Rates in the Markets of the 2004 EU Enlargement. Journal of Management and Business Administration. Central Europe, 26, 27-48, https://doi.org/10.7206/jmba.ce.2450-7814.218.
- Podgórski, B. (2018b). Effect Momentum Evidence from Advance Emerging Markets. Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse. Rynki finansowe. Ubezpieczenia, 2(92), 325-334, https://doi.org/10.18276/frfu.2018.92-28.
- Robinson, D. (2007). The information content of reverse stock splits. Advances in Accounting, 23, 179-205, https://doi.org/10.1016/S0882-6110(07)23007-X.
- Schultz, P. (2000). Regulatory and legal pressures and the costs of Nasdaq Trading. The Review of Financial Studies, 13(4), 917-957, https://doi.org/10.1093/rfs/13.4.917.
- Słoński, T. and Rudnicki, J. (2011). Wpływ podziału akcji na stopę zwrotu z inwestycji w akcje. Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse. Rynki finansowe. Ubezpieczenia, 37, 323-334.
- Wnuczak, P. (2016). Tempo wzrostu gospodarczego jako determinant odchylenia cen akcji od ich wartości fundamentalnych. Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse. Rynki finansowe. Ubezpieczenia, 79,149-157, https://doi.org/10.18276/frfu.2016.79-11.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171590141
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