【本期主题】Stock Split Revisited: Evidence from U.S. and China

This study compares stock price reactions around stock splits in China and the U.S. We find similar patterns of stock price reactions around split announcements, as well as post-announcement positive returns in the six months following the announcement.  The post-announcement drift in the U.S. continues for 12 months after the announcement, and continues to hold after 2000, i.e., after the anomaly was identified in the academic literature. In contrast, the initial price run-up in China stops after six months and in some cases reverses in the subsequent six months. Using detailed trading data from the Shanghai Stock Exchange and information on State Owned Enterprise (SOE) privatizations, we find that individual investors are net buyers after split announcements while mutual funds and institutional investors tend to be net sellers. Furthermore, splits related with SOE or privatization have higher price run up and no reversal six month after the announcement. This evidence suggests more information might be related or signalled with stock split announcement. Our paper also provides benchmark test for cross-sectional return patterns in China market where short-term technical signals and split events consistently predict future stock returns.

【报告人】赵彬     上海高级金融学院金融学助理教授

【时   间】05月13日 上午10:00

【地   点】明德主楼0509室

【报告人简介】

赵彬博士现为上海高级金融学院金融学助理教授，2011年至今为SAIF金融硕士项目服务委员会成员。赵彬教授的研究方向是行为金融和家庭金融。赵彬教授于2011年获得上海高级金融学院青年教师优秀研究奖。她曾在2009年获威斯康星大学麦迪逊分校商学院博士生研究奖。赵彬教授讲授的课程包括金融硕士项目的《公司财务》、《金融经济学基础》以及MBA项目与金融硕士项目的《证券分析与估价》。

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