| Summary: | 碩士 === 國立中興大學 === 財務金融系所 === 99 === This study, based on the method of measuring the cost of equity capital proposed in Ohlson and Juettner (2005) (OJ model), analyzes the impact of stock split on the realized return in the market and on the cost of equity capital in the OJ model. The empirical results find that the impact of stock splits on the firms includes the increase in expected future cash flows, improvement of accounting performance, the market- based investment opportunities, the increase in firm’s volatility and the number of analyst forecasting, and improvement of the stock liquidity. Based on these impacts, we find the cost of equity capital measured by the OJ model increase. Therefore, the cost of capital measured from accounting information increases with these factors after stock splits. In contrast, because the market performance is influenced by the expected decline in future growth rate, firm value is expected to reduce subsequently. This is the main reason why we find that the excess market returns reduce even though the accounting-based costs of capital increase. We conclude that the effect of stock splits on accounting-based and market-based costs of capital is inconsistent due to the response of different firm-specific characteristics.
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