Stock Splits Research Articles

Stock Split Rule Changes and Stock Liquidity: Evidence from Bursa Malaysia

We test the impact of stock split rule changes on liquidity behavior in Bursa Malaysia during 2004–2020. Using event study methodology, this study examines stock liquidity on and around stock split days through three subperiods of study, including the first (2004–2006), second (2007–2009), and third (2010–2020) period. We find that liquidity improvement is short-lived in the first and second periods, while it is a long-lived phenomenon in the third period. Firms in the first and second period experienced liquidity improvement only on the split announcement day, while it lasts up to a year after the Ex-date for firms in the third period. Our findings also show a liquidity improvement after the Ex-date only in the third period for the groups of firms categorized based on the liquidity, split factor, and other simultaneous announcements. The findings suggest a positive effect of stock split rule changes implemented by the Securities Commission.

Kebijakan Stock Split Perusahaan Non-Financial Di Indonesia: Manajemen Laba, Kinerja Operasi, Kinerja Pasar

The stock split policy shows the success of managers in managing the company. The condition of managers who have perfect information compared to shareholders, stock split policies may coincide with certain motives carried out by managers. This study examines differences in earnings management, operating performance, and market performance before and after the company conducts a stock split. This study employs secondary data sourced from www.idx.co.id, www.idnfinansials.com, and www.finance.yahoo.com. The data employed consists of data and information from financial statements and stock prices of non-financial companies listed on the Indonesia Stock Exchange from 2013 to 2019. The sample used in this study amounted to 64 observations based on purposive sampling. The data analysis test used the normality test and the Wilcoxon matched-pairs test. This study concludes that earnings management and market performance increase after the company's stock split is carried out. Meanwhile, operating performance did not experience any difference before and after the stock split was carried out. This study proves that managers employ the moment stock split to carry out earnings management for certain motives, even though the market participants positively respond to these actions. The companies that carry out stock splits should make these events to improve their operating performance. This study indicates that the Financial Services Authority needs to review companies with plans to conduct a stock split to protect investors in the capital market

Dampak Stock Split terhadap Abnormal Return pada Emiten Terdaftar di Bursa Efek Indonesia

This study analyzes the effect of stock split on abnormal returns of companies listed on theIndonesia Stock Exchange in 2015-2019. Using a purposive sampling method (nonprobabilitysampling) we obtained 34 companies as a research sample. We use the event study approach for data processing in finding abnormal returns and t-test as well. This study classifies samples into two categories, complex sample category, and sectoral industries. The result shows that for the complex category, there are three out of eleven days of events that have an impact on abnormal returns marked by the t-test results greater than t-table. Whereas in each sectoral industries there are only five affected sectors, three unaffected sectors and one sector cannot be tested due to insufficient data. This result is also consistent with theories related to the stock split, signaling theory, and trading range theory.

Analysis of the Effect of Stock Split on Abnormal Stock Return and Share Liquidity

Strong companies will not be too affected by news issues about stock splits, but several other companies that do stock splits actually experience a decline in demand for their shares. This study aims to analyze the effect of stock splits on abnormal stock returns and stock liquidity. In this study, the authors use quantitative research methods with a descriptive research approach, because there are variables to be examined and the relationship aims to describe the characteristics or behavior of a population in a systematic and accurate way regarding the relationship between the variables to be studied. The population in this study are companies listed on the Indonesia Stock Exchange, namely companies that carried out stock splits in 2019. Based on the results of research, the authors draw the following conclusions: Based on statistical tests on abnormal returns, it was found that market reactions occurred during the day after the stock split, the first day until the fourth day after the stock split. Based on the results of the different tests on Abnormal Returns before and after the stock split, it shows that there is a significant difference between the returns before and after the stock split. Based on the results of the different tests on the average TVA before and after the stock split, it shows that there is a significant difference between TVA before and after the stock split.

Analysis of the Effect of Stock Split on Abnormal Stock Return and Share Liquidity

Strong companies will not be too affected by news issues about stock splits, but several other companies that do stock splits actually experience a decline in demand for their shares. This study aims to analyze the effect of stock splits on abnormal stock returns and stock liquidity. In this study, the authors use quantitative research methods with a descriptive research approach, because there are variables to be examined and the relationship aims to describe the characteristics or behavior of a population in a systematic and accurate way regarding the relationship between the variables to be studied. The population in this study are companies listed on the Indonesia Stock Exchange, namely companies that carried out stock splits in 2019. Based on the results of research, the authors draw the following conclusions: Based on statistical tests on abnormal returns, it was found that market reactions occurred during the day after the stock split, the first day until the fourth day after the stock split. Based on the results of the different tests on Abnormal Returns before and after the stock split, it shows that there is a significant difference between the returns before and after the stock split. Based on the results of the different tests on the average TVA before and after the stock split, it shows that there is a significant difference between TVA before and after the stock split.

Corporate Announcements and Market Efficiency: A Case on Indian Capital Market

Capital markets being the backbone of the economy, are expected to be functioning efficiently. Efficiently-priced financial markets are considered a catalyst for the economic growth of the nations (Malkiel, 2010). Efficient markets are the reflection of security valuations. In an informationally efficient market, no one can beat the market and make abnormal returns based on the information because the information is instantaneously observed in the stock prices. The current paper analyses the market efficiency of three of the most popular corporate events, i.e., announcement of cash dividends, bonus issues, and stock split in the Indian context. The sample is 2253 pure cash dividend announcements (627 large-caps, 552 mid-caps, and 1074 small-caps), 152 bonus issue announcements (49 large-caps, 33 mid-caps, and 70 small-caps), and 181 stock split announcements (35 large-caps, 34 mid-caps, and 112 small-caps) were used for this study. Event methodology market model used to calculate Average Abnormal Returns (AAR) and Cumulative Average Abnormal Returns (CAAR).
 
 The results of the study have few findings which are contradictory to the existing literature on market efficiency. The cash dividend announcements have shown evidence for market efficiency, and results are contrary to Gupta et al. (2012), but the results are similar to Mishra (2005). Bonus issue announcements also have shown evidence for a semi-strong form of efficiency, test results identical to Dhar and Chhaochharia (2008), Kumar and Mittal (2015). Stock split announcements have not shown market efficiency, and the effect is similar to the study of Lakshmi and Roy (2012) and contrary to Chavali and Zahid (2011). Our results also support the premise that the emerging countries depict evidence of market efficiency (Bechev, 2003). Finally, we conclude that market efficiency results differ based on corporate announcements and market capitalization.

DAMPAK KERUSUHAN MAKO BRIMOB MEI 2018 TERHADAP ABNORMAL RETURN INDEKS LQ45 YANG TERDAFTAR DI BEI

This research is an event study that aims to determine the differencein the average Abnormal return (AR) before, during, and after the MakoBrimob riot. The subject of this study is the LQ45 index company that hasfulfilled the criteria. The company does not conduct corporate actions suchas the announcement of stock split, right issue, merger & acquisition, anddividend in the observation period, which is five days before the riot, oneday during the riot (May 9, 2018) and five days after the riot. The results ofthe data normality test found that the data in this study were normallydistributed. P-value shows the number 0.412. The results of the differenttests using independent Sample T-Test (H1) showed no difference in theaverage abnormal return before, and during the Mako Brimob riots (ρ =0.050). The results of different tests using independent Sample T-Test (H2)were no difference in the average abnormal return during and after the incidentof the Mako Brimob riots (ρ = 0.117). The results of different testsusing Paired Sample T-Test (H3) were no difference in the average abnormalreturn before and after the incident of the Mako Brimob riots (ρ = 0.77).

ANALISIS PERBANDINGAN TRADING VOLUME ACTIVITY, ABNORMAL RETURN SAHAM DAN BID ASK SPREAD SEBELUM DAN SESUDAH STOCK SPLIT

A stock split is when a company divides the existing shares of its stock into multiple new shares. The split is done by dividing each existing shares into more than one shares. A lower share price can make the stock more attractive to a broad range of investors so that the sale of shares can be further increased. This study aims to determine the differences in trading volume activity, abnormal returns and bid-ask spreads before and after the stock split. The event window used in this study is 20 days consisting of 10 days before the stock split and 10 days after the stock split. This study was conducted on 28 companies that announcess Stock Splits during the 2015-2019 period. The method used in this study was to use the Wilcoxon signed rank test which was processed with the help of SPSS version 25. The results of this study indicate that there are significant differences in Trading Volume Activity and Abnormal Return before and after the announcement of Stock Split

Do stock splits matter for returns, volatility, and liquidity?

The purpose of this study is to investigate the impact of stock splits on the return, riskiness, and liquidity of stocks. Utilizing a sample of 94 stock splits taken place between 2010 and 2019 at Borsa Istanbul, the study analyzes the daily abnormal returns, change in volatility, and changes in volume around the stock split announcement and execution dates. The results display significant positive abnormal returns around the announcement date but not significant abnormal returns around the execution. The volatility and liquidity of stocks increase significantly around both announcement and execution dates. The findings are in line with the positive signaling, and liquidity hypotheses of stock split and with most of the observations reported in the empirical literature. The new evidence provided points out the lack of semi-strong form of market efficiency at Borsa Istanbul as far as the stock splits are considered.

ANALYSIS OF DIFFERENCES OF PRICE EARNING RATIO (PER) AND STOCK LIQUIDITY BEFORE (10 DAYS) AND AFTER (10 DAYS) STOCK SPLIT IN GO PUBLIC COMPANY IN INDONESIA STOCK EXCHANGE PERIOD 2009 – 2016

The purpose of this research is to know (1) difference of stock liquidity level before and after stock split (2) difference of Price Earning Ratio (PER) before and after stock split.The population used in this study are all companies listed on the Indonesia Stock Exchange. While the sample selection is taken by using purposive sampling method. The number of samples used by researchers are 62 companies listed on the Indonesia Stock Exchange and stock split in the period 2009-2016.Based on the results of research indicate that there is a significant difference in Price Earning Ratio (PER), either before stock split or Price Earning Ratio (PER) after stock split. With paired sample t-test results obtained t test with t count> t table (3.912> 2,000) can be concluded then Ho accepted means there is a difference between price earnings ratio (PER) of each sample company, either before stock split or price Earnings ratio (PER) after the stock split event.With paired sample t-test obtained t test results with t count> t table (1,844> 2,000) can be concluded then Ho accepted means there is no difference between the stock liquidity of each sample company, either before the stock split and the liquidity of stock after the event Stock split.

Individual investor attention to stock split and the disposition effect

PurposeThis paper investigates whether individual investors are attentive to stock splits and whether higher split ratios (stronger private information signals) reduce the disposition effect.Design/methodology/approachThis study employs stock split events and transaction data in the Indonesia Stock Exchange (IDX) from January 2004 to December 2017. The authors measure individual investors' attention using buy-initiated trades. To test the effect of split signal on disposition effect, the authors regress individual investors' sell-initiated trades on past stock returns.FindingsUnlike Birru (2015), the authors find that individual investors are attentive to stock splits, especially when stock split ratios are high. In turn, stock splits tend to weaken the disposition effect. The higher the stock split ratios, the weaker the disposition effect.Research limitations/implicationsThis study has a limitation in that the authors exclude all stock splits with dividend events around the split date. These stock splits cover 37% of all splits in Indonesia.Practical implicationsPractically, individual investors should look for stock-related information to reduce disposition bias.Originality/valueTo the best of authors’ knowledge, this study is the first to test individual investors' attention on stock splits based on their buy-initiated trades. This study is also the first to test the impact of stock split ratios on the disposition effect reduction. This study's findings enrich the scant literature on individual investors' attention and how to reduce their disposition effect bias.

Family Control, Stock Price Levels, and Stock Split Activity

Cet article analyse l’impact de l’actionnariat familial sur (1) le niveau du cours de Bourse et (2) la propension à entreprendre des opérations de division du nominal. La littérature financière démontre que des cours de Bourse faibles sont susceptibles d’attirer des investisseurs de court-terme et que les divisions du nominal peuvent altérer la réputation de l’entreprise. Dans la mesure où une orientation de long-terme et une grande attention portée à l’image de l’entreprise sont souvent analysées comme des caractéristiques distinctives des firmes familiales, nous faisons l’hypothèse que ces dernières ont une préférence pour des cours élevés et sont peu enclines à diviser le nominal de leurs actions. Nous validons cette hypothèse sur un échantillon de firmes appartenant à l’indice SBF 120 sur la période 1998-2016. Il apparait que le contrôle familial (et plus généralement la structure d’actionnariat) est un déterminant important du cours de Bourse.

Pengaruh Kualitas Aset dan Kualitas Modal Terhadap Profitabilitas dengan Likuiditas Sebagai Variabel Intervening Pada Sub Sektor Perbankan Di Bursa Efek Indonesia Periode 2015 – 2019

This study will look at the performance of banking companies, looking at the relationship between asset quality factors, capital quality to profitability and liquidity as intervening in the banking sub-sector on the Indonesia Stock Exchange for the period 2015-2019. This study used the first free variable which is an asset quality variable with indicators namely NPL Gross, NPL Net, and RAPBTTAP. The second free variable is a capital quality variable with indicators namely TIER 1, TIER 2, KPMM and FAtE. Variables are tied to profitability with indicators namely BOPO, ROA, ROE and NIM. Intervening variable is liquidity with indicators namely LDR, LtER and LtTAR. The research sample used is a group of sub-banking sector stocks during the 5-year observation period, starting from 2015 - 2019, which has a complete research indicator report of financial statements, does not conduct a stock split and has indicators of negative profitability ratios of 11 issuers. This form of research is explanatory research and data analysis in this study using Partial Least Square using Smart PLS 3.0 software. The results showed, capital quality variables have a significant effect on liquidity variables, capital quality variables have a significant effect on liquidity variables, Asset quality variables have a significant effect on profitability variables, capital quality has no significant effect on profitability variables, liquidity variables have a significant effect on profitability variables, Asset quality variables and capital quality have no significant effect on variable profitability with liquidity variables as intervening variables.

ANALISIS PERBEDAAN HARGA SAHAM, RETURN SAHAM, DAN ABNORMAL RETURN SEBELUM DAN SESUDAH STOCK SPLIT PADA PERUSAHAAN HIGH PROFILE DAN LOW PROFILE YANG TERDAFTAR DI BURSA EFEK INDONESIA

This research aims to determine whether there are differences in stock prices, stock returns and abnormal returns before and after a stock split in high profile and low profile companies. The research period used in this study was on 2016-2018. The research was analyzed in quantitative method by using a purposive sampling method. Based on the sampling criteria, 40 companies were selected as research samples. Kolmogorov Smirnov One Sample test was used for the normality test. After the normality test was carried out, the data was processed using the two paired-sample difference test. The t-test (paired sample t-test) was used if data were normally distributed but if it was not normally distributed the Wilcoxon Signed Rank test would be used. Hypothesis testing results showed that (1) there are differences in stock prices whether before and after a stock split in high profile companies (2) there are differences in stock prices whether before and after the stock split in low profile companies (3) there are differences in stock returns whether before and after a stock split in the company high profile (4) there is no difference in stock returns whether before and after the stock split in low profile companies (5) there is no difference in abnormal returns whether before and after the stock split in high profile companies (6) there is no difference in abnormal returns whether before and after the stock split in low profile companies (7) there are differences in stock prices after a stock split in high profile companies and low profile (8) there is no difference in stock returns whether before and after the stock split in high profile and low profile companies (9) there is no difference in abnormal stock returns whether before and after a stock split at high profile and low profile companies.

PENGUJIAN REAKSI TERHADAP SINYAL KINERJA PERUSAHAAN PUBLIK INDONESIA MELALUI PEMECAHAN SAHAM

Most previous studies found that the market reacted positively to the announcement of firms stock split. Those positive investor perception is based on their expectation of a better future firm performance in the future that informed through stock splits. This study provide an empirical evidence on investor reactions on stoc split announcement and the current earnings quality and future profit as well of 20 stock split indonesian public listed during the period2000 to2008. This study found that investor of Indonesian stock exchange is not react to firm stock split announcement. This study also found that stock split firm report lower future performance and lower current earning quality. This findings imply that indonesian investor reaction to stock split announcemenet depend on their percived of current and future stock split firm performance.

REAKSI PASAR MODAL DARI DAMPAK PERISTIWA KERUSUHAN MAKO BRIMOB MEI 2018 TERHADAP ABNORMAL RETURN INDEKS LQ45 YANG TERDAFTAR DI BEI

This research is an event study that aims to determine the difference in the average Abnormal return (AR) before, during and after the Mako Brimob riots. The subject of this study is the LQ45 index company that has fulfilled the criteria, namely the company does not conduct corporate actions such as the announcement of stock split, right issue, merger & acquisition and devidend in the observation period, which is five days before the riot, one day during the riot (May 9, 2018) and five days after the riots. The results of the data normality test found that the data in this study were normally distributed. p-value shows the number 0.412. The results of the different tests using independent Sample T-Test (H1) showed no difference in the average abnormal return before and during the Mako Brimob riots (ρ = 0.050). The results of different tests using independent Sample T-Test (H2) showed no difference in the average abnormal return during and after the incident of the Mako Brimob riots (ρ = 0.117). The results of different tests using Paired Sample T-Test (H3) showed no difference in the average abnormal return before and after the incident of the Mako Brimob riots (ρ = 0.77).

The Death of Stock Splits: An Increase in the Costs to Split

In this paper, we document a previously unknown cost of stock splits: failure to sufficiently beat earnings targets and its associated capital markets punishment. We show that both firms’ earnings announcement returns and likelihood of beating analysts’ expectations by at least two cents decline post-stock split. This patterned decline in both split activity and post-split returns only occurs for publicly-listed firms, whereas abnormal returns for closed-end funds do not consistently vary over time. Overall, the results suggest that declining signaling benefits and increasing costs led to fewer stock splits in recent years.

What Are Benefits of Attracting Gambling Investors? Evidence from Stock Splits in China

Analyzing a sample of Chinese firms splitting their stocks via stock dividends and using proprietary trading data to measure investors’ gambling preference, we find that stock splits raise the stocks’ lottery characteristics, making them attractive to gambling investors, who willingly pay higher prices for skewed securities. Split firms also become more risk-taking. Furthermore, their cost of equity declines, largely due to increased gambling investors’ pricing influence. Our findings suggest that firms with weak lottery characteristics and those with inefficient risk sharing, can use stock splits to attract gambling investors to improve risk sharing and to lower their cost of equity.

Do Sell-Side Security Analysts Act as Prophets?

The investment banks, brokerage houses, and pension funds spend large amounts of capital to hire security analysts to predict earnings, stock recommendations, and target prices for their customers and public investors. These observations raise a compelling empirical motivation for the researcher to investigate Do Sell-Side Security Analysts (SSSA) can forecast earnings, stock recommendations, target prices, and particularly consensus prices (average target prices) accurately. The population of the study includes public listed companies in Colombo Stock Exchange which are of interest to the SSSA in their equity research studies but all the listed companies cannot be considered as the population since there are companies that haven't used in the stock market research or equity research studies of the brokering firms. The number of companies qualifying for the study is based on the sample selection criteria to limit the analysis to a realistic level. There are 22 listed companies, qualified for the study from 2012 to 2018. In calculating monthly stock returns, the researcher assumes that any form of declaration of remittances such as dividends, bonus issues, stock splits, and right issues encourage investors to purchase the stock and it causes the price of a stock to increase. In general, the increase is about equal to the amount of the benefit, however, the actual price change is based on market activity. Finally, the results of hypothesis testing through multiple regression models discuss to achieve the research objectives. The findings of the study have important implications for diverse users to formulate their future policy decisions for the development of the stock market and the economy. The investigation reveals that there is a statistically significant positive relationship between Rit and RCP.

Stock Price Level Effect

Companies actively manipulate stock price ranges through IPOs, stock splits, and repurchases. Indeed, empirical results suggest that the stock's price range, whether at a high or low price level, affects market performance. Unfortunately, archival data does not allow us to test the effect of stock price levels on investor behavior due to uncontrolled confound effects. We thus conduct a controlled online experiment with 900 US retail investors to test whether a difference in stock price levels affects the investor's risk perception, the price forecast, and the investment. Even though we �nd no differences in risk perception and forecasts, our results show signi�cantly higher investments in high-priced stocks in comparison to low-priced stocks. This effect disappears when we allow fractional share purchases or restrict naive trading strategies.