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    题名: 股票分割的資訊內涵
    其它题名: The information content of stock splits
    作者: 湛可南
    贡献者: 財務管理學系
    关键词: 股票分割;訊息假說;資訊交易(informed trading);長期績效;標準化未預 期盈餘效果(the SUE effect)
    stock splits;signaling;informed trading;long-run performance;SUE effect
    日期: 2012
    上传时间: 2016-04-14 16:46:47 (UTC+8)
    摘要: 股票分割(stock split)是一個看似簡單卻令人不解的現象。公司僅單純將流通股數增 加，以降低每股價格，其融資與投資決策均未改變；因不牽涉到現金流量，所以，股票 分割應不會對公司或股東產生什麼影響。但過去的研究均顯示，當公司宣告股票分割 時，會發生正的超額股票報酬。 部分學者提出了「訊息假說」，來解釋為什麼公司要進行股票分割，以及為什麼市 場會給予正向評價。但是一些論文指出，股票分割的成因是在於每股最適價格與增加股 東流通的考量，和訊息理論並無直接的關係。所以，目前文獻對股票分割背後的經濟意 義看法並不一致。 本計畫從三個方向，來探討股票分割的資訊內涵，以解決文獻在股票分割上的紛爭。 首先，我們借用「資訊交易」方面的理論，即資訊交易者在股票選擇權的交易量含 有公司的重要資訊，並將其連結到股票分割宣告時的市場反應；我們認為資訊交易量與 股票分割的宣告報酬將呈正向關係。 第二，由於資訊交易量帶有公司的相關訊息，如果資訊交易量與股票分割的宣告報 酬有正向連結，那麼資訊交易量與股票分割後的長期表現也應具有正向關係。同時，我 們認為資訊交易者所掌握的是公司的未來基本面訊息，應而可預測股票分割後的盈餘表 現。 最後，我們研究股票分割與標準化未預期盈餘效果(the SUE effect)的關係。如果股 票分割與未預期盈餘具有相關但不同的資訊內涵，那投資人可同時利用兩者創造更高的 超額報酬。 本計畫是第一個將資訊交易運用到股票分割的研究，從而對訊息理論有更直接的測 試；另外，本計畫也探討股票分割後超額報酬的成因，並形成投資策略。這些結論都對 文獻有重要的啟示。
    Stock splits are a puzzling corporate event. As a cosmetic transaction, a stock split simply changes shares outstanding and stock price per share. Given that financing and investment decisions are not altered, stock splits should not generate any impact on shareholder wealth. Yet, the literature finds that stock splits evoke a significantly positive market reaction. Prior research offers a signaling story to explain positive market responses to splits. In particular, managers possess favorable private information of firms and use stock splits to signal to the market. While many papers find evidence supporting the managerial signaling notion, others suggest that signaling may be irrelevant in stock splits. As a result, the literature provides mixed evidence regarding the signaling motive of splits. This project proposes to examine the information content of splits to offer insights into the debate regarding managerial signaling in motivating stock splits. We address three sets of questions. First, we introduce informed trading, measured by the relative trading volume of options, to the context of stock splits. Previous options literature shows that informed trading conveys important information and can predict future returns. We ask two questions: Is there a positive relation between pre-split informed trading and split announcement returns? Under what conditions is this positive relation more likely to hold? Second, we re-visit the post-split long-run stock returns by applying new methods and offering more cross-sectional tests. Specifically, we examine if pre-split informed trading is positively related to long-run returns following splits. We ask: What information does informed trading capture? Is it the case that informed traders possess private information about future fundamentals of firms? Third, we examine the relation between the return drift following splits and the post earnings announcement drift (or the SUE effect). Are the split drift and the SUE effect a manifestation of one phenomenon? Or do they represent different pieces of information? This project has potential to make important contributions to the literature. To the best of our knowledge, this is the first study that links the options trading to stock splits. The experiment design allows us to better address the role of managerial signaling in motivating managers to split shares. Also, we examine whether the SUE effect is the source of return predictability for stock splits. Investors can gain by devising a trading strategy based on our results.
    關聯: 計畫編號 NSC101-2410-H004-085-MY3
    数据类型: report
    显示于类别:[財務管理學系] 國科會研究計畫

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