Abstract
In this study we analyzed stock splits, and their attendant price surges, which have increased rapidly since 2003, using the event study method. Our aim has been to understand the current situation. We have confirmed that, as the cause for the systematic recurrence of “bubbles,” 1) there is a “problem in the system of stock splits,” in other words, the higher the split factor is, the more drastically the number of outstanding shares declines from the date of right allotment to the ex-split date; and 2) there is a “problem of the supply of stocks for loan in the system of margin transactions and when-issued settlement transactions,” which makes even post-split arbitrage and hedge positions risky. We have found that these micro-structural factors in the Japanese stock markets pose a great obstacle to the market’s arbitrary mechanism and make it difficult to eliminate inefficient investment activities.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
