- 學位論文
市場對反股票分割反應不足的現象及其來源之實證研究分析
The Evidence of Market Underreaction to Reverse Stock Splits
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摘要
此篇論文分成三大部分來檢測反股票分割之市場反應不足現象以及反應不足的來源。第一部分先使用反股票分割公司一、三、五年的長期績效來檢測其市場反應不足現象，實證結果證明反股票分割的長期績效，不論是一年、三年還是五年，皆顯著為負，因此可得知市場對於反股票分割有反應不足的現象；由於過去文獻所整理公司實施反股票分割的原因有很多，但主要分成兩部分，一為防止下市，另一為增加股票流動性，因此第二部份為探討公司實施反股票分割的原因為防止下市或者為增加股票流動性，我們以交易所規定繼續上市條件中最低每股股價五元將樣本分成三部份，並個別檢測其長期績效，我們發現每股股價低於五元的樣本長期績效較高於五元的樣本顯著為負，故可知公司大多由於防止下市的原因而實施反股票分割，且傳達經理人對公司未來前景沒信心；最後我們利用分析師盈餘預測對於市場預期的影響以及時間序列模型來檢測其是否為市場對反股票分割反應不足的來源，實證結果發現投資者除了當時對事件有所反應之外，之後大多會受到分析師對於實施反股票分割公司之盈餘預測而改變其預期，使得市場對於實施反股票分割的公司會繼續反應，於實證研究中，我們也發現分析師會逐月下修實施反股票分割的公司之盈餘預測，因此可由分析師盈餘預測之向下修正證明反股票分割之市場反應不足現象。
關鍵字
反股票分割並列摘要
To investigate the possible source of the market underreaction to reverse stock splits, there are three topics in this thesis. First, we follow Ikenberry and Ramnath (2002) to examine the market underreaction to the reverse stock splits. The results suggest that the long-run performance following reverse stock splits is significant negative. This also supports that market underreacts to the reverse stock splits. Second, we investigate the motivation of reverse stock splits and find that long-run performance is more significant negative in reverse splits firms with post-split price below $5 than those with post-split price equal to or above $5. This implies that the motivation of reverse splits firms may be avoidance of delisting from exchange and convey a signal for the management’s lack of confidence in earnings improvement. Finally, we use analysts earning forecast revision and Time-series model to examine the source of the market underreaction to reverse stock splits. The results show that analysts revise their forecasts downward slowly following sample firms and upward slowly following matching firms over time. In addition, the evidence of analysts’ forecast revision also support that the market underreaction to the reverse stock splits could fractionally be caused by the analysts’ forecast revision.
並列關鍵字
Reverse stock splits參考文獻
Brous, Peter, and Omesh Kini, 1993, “A reexamination of analysts’ earnings forecasts for takeover targets,” Journal of Financial Economics, 33, 201-225.
Desai, Hemang, and Prem Jain, 1997, “Long-run common stock returns following stock splits and reverse splits,” The Journal of Business, 70, 409-432.
Han, Ki, 1995, “The effects of reverse splits on the liquidity of the stock,” Journal of Financial and Quantitative Analysis, 30, 159-169.
Ho, Amy Yueh-Fang, Edward Nelling, Yi-Kai Chen, 2005, “Earnings management and long-term performance of reverse stock splits,” Working Paper.
Ikenberry, David, and Sundaresh Ramnath, 2002, “Underreaction to self-selected news events: The case of stock splits,” The Review of Financial Studies, 15, 489-526.