The Evidence of Market Underreaction to Reverse Stock Splits
碩士 === 元智大學 === 財務金融研究所 === 93 === To investigate the possible source of the market underreaction to reverse stock splits, there are three topics in this thesis. First, we follow Ikenberry and Ramnath (2002) to examine the market underreaction to the reverse stock splits. The results suggest that th...
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| Format: | Others |
| Language: | en_US |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/62342841310766386640 |
| Summary: | 碩士 === 元智大學 === 財務金融研究所 === 93 === To investigate the possible source of the market underreaction to reverse stock splits, there are three topics in this thesis. First, we follow Ikenberry and Ramnath (2002) to examine the market underreaction to the reverse stock splits. The results suggest that the long-run performance following reverse stock splits is significant negative. This also supports that market underreacts to the reverse stock splits. Second, we investigate the motivation of reverse stock splits and find that long-run performance is more significant negative in reverse splits firms with post-split price below $5 than those with post-split price equal to or above $5. This implies that the motivation of reverse splits firms may be avoidance of delisting from exchange and convey a signal for the management’s lack of confidence in earnings improvement. Finally, we use analysts earning forecast revision and Time-series model to examine the source of the market underreaction to reverse stock splits. The results show that analysts revise their forecasts downward slowly following sample firms and upward slowly following matching firms over time. In addition, the evidence of analysts’ forecast revision also support that the market underreaction to the reverse stock splits could fractionally be caused by the analysts’ forecast revision.
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