by Cheng Koon Chuen, Louie Mei Po. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 46-49). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF TABLES --- p.v / Chapter / Chapter I --- INTRODUCTION --- p.1 / Chapter II --- LITERATURE REVIEW --- p.4 / Abnormal Returns --- p.5 / Information Signal --- p.6 / Impact on Liquidity --- p.8 / Impact on Volatility --- p.9 / Impact on Risk --- p.10 / Managerial Motives --- p.11 / Trading Range --- p.12 / Signalling --- p.13 / Liquidity --- p.13 / Other Motives --- p.14 / Research Findings --- p.14 / Chapter III --- DATA DESCRIPTION --- p.18 / Chapter IV --- METHODOLOGY --- p.21 / Shareholder Wealth Effects --- p.21 / Changes of Volatility --- p.23 / Change of Risk --- p.25 / Interview --- p.26 / Interviewees --- p.26 / Interview Schedule --- p.26 / Chapter V --- RESULTS --- p.28 / Shareholder Wealth Effects --- p.28 / Volatility Changes After Splits --- p.29 / Beta Changes Around Splits --- p.29 / Interview Results --- p.30 / Managerial Motives --- p.30 / Market Comments --- p.35 / Chapter VI --- CONCLUSION --- p.39 / APPENDIX --- p.41 / BIBLIOGRAPHY --- p.46

Thesis (M.B.A.)--University of Hong Kong, 1983.

No description available.

No description available.

No description available.

published_or_final_version / Economics and Finance / Doctoral / Doctor of Philosophy

Thesis (Ph. D.)--University of Hong Kong, 2009. / Includes bibliographical references (p. 100-103). Also available in print.

published_or_final_version / Business Administration / Master / Master of Business Administration

Accepted financial theory holds that stock splits provide no wealth benefits to stock-holders. The corporate management view is that stock splits add value by placing the stock in a more liquid price range. Empirical explanations of excess returns near the split rely principally upon an information effect. Other findings are that (1) an unexplained, sustained jump in returns' variance occurs at the split, and (2) there appears to be a coincidental decrease in liquidity, not an increase. Daily returns from CRSP and daily and intradaily returns and daily trading volumes and price change information from trade-by-trade data are used to examine the returns variance increase and any connection it may have with any liquidity change. Binomial probability comparisons of returns' variance measures each side of the split ex-date are used to examine the variance change and liquidity change phenomena. T-tests are also used to examine the mean-variance change and the possible change in several liquidity measures. Linear regression is used to detect impact of the general market variance level, firm-specific variables, and microstructure measures, and liquidity measures upon the returns’ variance change. Findings include: (1) the variance increase is significant and exhibits a firm size effect and is affected by the previous history of splits use and. dividend payout, (2) the increase is primarily related to the price level adjustment and changes in the liquidity measures, (3) a slight change in the demand to hold as measured by the percentage of the firm traded takes place for firms with an increase in variance (4) the bid-ask spread decreases, but increases relative to the new price. Stock splits with increased returns’ variance have significantly different liquidity measures from splits where the variance declined. / Ph. D. / incomplete_metadata

When-issued trading, the contractual agreement for the sale and purchase of shares to be issued in the future (when-issued securities), typically occurs after stock split announcements. Curiously, when-issued trading does not always exist for a stock-splitting firm's shares even though the shares are eligible for when-issued trading. Although stock splits have been the subject of a large number of studies, intriguing questions concerning these events remain unanswered. In particular, academia has yet to explain adequately the positive average abnormal returns associated with stock split announcements. These two peculiar phenomena are examined. A major objective of this dissertation is to determine whether there are systematic differences between those stock-splitting firms whose shares are traded on a when-issued basis and those whose shares arc not. A logistic regression model was constructed, using information with respect to nine accounting variables, to determine if there are systematic differences in accounting information that are useful in classifying stock-splitting firms as being associated with when-issued trading. The classification accuracy of the logistic regression model was significantly better than a random walk model, but was not better than the maximum chance model. The results of the final model indicate that size of the stock-splitting firm is the most significant factor affecting the probability that a stock-splitting firm's shares are traded on a when-issued basis. The probability that a stock-splitting firm's shares will be traded on a when-issued basis increases with firm size. The presence/absence of when-issued trading indicates that investors do not react to stock splits in a consistent manner. Therefore, the stock price behavior around the stock split announcements was examined and the difference in the reaction to announcements of when-issued traded and non-when-issued traded firms was tested for statistical significance. The results indicate that the market responds more favorably to the stock split announcements made by non-when-issued traded firms. The variation in the stock price behavior over a two-day stock split announcement period was analyzed cross-sectionally to determine whether the market reaction displayed through stock prices is related to selected accounting variables. Again, size was the most significant factor. In this case, size was negatively related to the stock price behavior suggesting that stockholders of larger firms earn lower abnormal returns. Another interpretation would be that stock splits are viewed more favorably if authorized by smaller firms. Overall, the results of this study suggest that all stock-splitting firms are not similar and that the market does not react consistently to the announcement of stock splits of all firms. It seems that the larger the firm, the more likely its shares will be traded on a when-issued basis after the stock split is announced. Furthermore, the market does not react as positively to stock split announcements of larger firms as it does to announcements of smaller firms. My conclusion is that larger firms are more efficiently valued and, accordingly, the announcements of stock splits by larger firms are less informative than for smaller ones. / Ph. D.