中国股票市场“高送转”现象的研究.pdfVIP

∗ 中国股票市场“高送转”现象研究 1 1 2 2 李心丹 俞红海 陆蓉 徐龙炳 （1.南京大学工程管理学院，210093；2.上海财经大学金融学院，200433 ） The Research of Listed Companies’ Stock Split in China 1 1 2 2 LI Xindan YU Honghai LU Rong XU Longbing 1 ( School of Management and Engineering, Nanjing University, Nanjing, 210093, China; 2 School of Finance, Shanghai University of Finance and Economics, Shanghai, 200433, China) Abstracts: Although stock split changes nothing about the firm value, the investors are very interested in the stocks with stock split. This paper studies such phenomena from the perspective of investor’s price illusion and manager’s catering. Follwoing Baker et al.(2009), we find that with the increasing of investor’s preference to low-price stock, the propensity of stock split increases. Using investors’ trading data, we find further that after the announcement of stock split, the net buying of individual investor increases significantly, while the net buying of institutional investor decreases significantly. In addition, the long-term performance and abnormal long-term return decreases after stock splits, which means that the buying based on the event of stock split is not rational. Besides, the event of company season offering (SEO) has significant effect to stock split, and stock split has significant effect to large shareholder’s stock selling of next year. Key Words: Stock Split; Price Illusion; Catering JEL Classification: G23 G11 M31 D03 作者简介 李心丹，男，南京大学金融学教授、博士生导师，工程管理学院院长，金融工程研究中心主任，研究 方向行为金融、公司金融与中国资本市场； 俞红海，男，南京大学工程管理学院讲师