무상증자에 대한 유동성 가설 검증

We extend the liquidity hypothesis literature to show that free-bonus issues can improve liquidity by considering multiple dimension of liquidity. By using the 507 freebonus issues data from January 2000 to April 2014, we provide evidence that free bonus issue firms experience significant post-issue improvements in liquidity. Furthermore, we find that stocks with low liquidity before free bonus issues experience greater liquidity improvement after free-bonus issues. This improvement in liquidity is more prominent in the stocks with higher price level. It supports the optimal price range hypothesis that free-bonus issues are used to move stock prices into an optimal range that ensure liquidity and marketability. We also investigate the trading patterns of individual investors around free bonus issues to examine whether they attract more retail investors’ attention. When we trace individual investors’ trading activity around free bonus issues, there is a drastic increase in trading volume of individual investors. On the other hand, institutional investors are more likely to provide the liquidity necessary for individual investors to trade. Overall, our results imply that managers use free-bonus issues to improve stock liquidity and attract more investors.