학회소식
[2009년 제 1차] 단기사채제도 도입을 통한 기업어음시장 개선에 관한 연구
작성자 : 관리자
조회수 : 879
게시일 :
2009-02-26
This paper examines whether the investor sentiment affects the market response to stock split announcement and the market response reverses over 12 subsequent months following stock splits. By using stock splits from 1999 to 2006, the paper reports three major empirical results. First, the market response to stock split announcement is positively related to the sentiment. Second, the market response is more pronounced especially for small, young and high volatile stocks, the valuations of which are highly subjective and difficult to arbitrage. Third, we find negative long-term performance of splitting stocks, consistent with empirical evidence of Byun and Jo (2007). Further, the long-term performance is negatively correlated with the sentiment controlled for business cycle in the month prior to stock split announcement and positively with firm size, implying that the initial market response overreacts to stock split announcement, depending on firm size and the sentiment condition.
