주식분할의 유동성가설 및 최적거래가격범위가설 실증분석

This paper empirically tests the liquidity hypothesis and the optimal trading range hypothesis, which are the two of the main hypotheses that try to explain the excess returns occurred around the stock split announcement date, using trading volume, bid-ask spreads, and the ownership structure of firms in Korea. Unlike the studies on the U.S. stock market, test results show that liquidity highly improves after stock split ex-date and the changes in liquidity explains the positive excess returns of stock split announcement. Furthermore, We find that the ownership and trading volume of individual investors increase, and those of institutional investors remain unchanged. These results shows that both the liquidity hypothesis and the optimal trading range hypothesis are strongly supported. We also test whether trading volume and ownership of various investor types are able to explain the excess returns due to announcement effect and find that firms with low trading volume of individual investors during the pre-announcement experience higher excess returns. This fact implies that the optimal trading range hypothesis is supported. However, price level during the pre-announcement period and change in ownership do not have the power to explain the excess returns. Thus, we conclude that the optimal trading range hypothesis explains the excess returns of stock split in a limited sense.