Stock Price Anomalies Subsequent to Stock Split Announcements: Japanese Evidences

28 Pages Posted: 4 Mar 2008

See all articles by Yasuharu Kuse

Yasuharu Kuse

affiliation not provided to SSRN

Takeshi Yamamoto

Iwate Prefectural University

Date Written: March 2008

Abstract

This study examines the existence of stock price anomalies subsequent to stock split announcements through event study methodology and analyzes the determinants of the abnormal returns through cross-section regressions. We found strongly positive reactions to more than 500 announcements on average and tested hypothesis that the returns had positive relationship to the split ratios holding size and profitability fixed. The Commercial Law revision in 2001 made stock split decisions easy to use by firms. On the other hand, that brought about a side-effect of considerable degree of price appreciations caused by limits of arbitrage.

Keywords: stock splits, stock price anomalies

JEL Classification: G14, G35

Suggested Citation

Kuse, Yasuharu and Yamamoto, Takeshi, Stock Price Anomalies Subsequent to Stock Split Announcements: Japanese Evidences (March 2008). Available at SSRN: https://ssrn.com/abstract=1101210 or http://dx.doi.org/10.2139/ssrn.1101210

Yasuharu Kuse

affiliation not provided to SSRN ( email )

Takeshi Yamamoto (Contact Author)

Iwate Prefectural University ( email )

152-52
Sugo
Takizawa, Iwate 0200193
Japan

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