Critical Finance Review, 2017(Forthcoming)

再論通過名義股價迎合投資者

作者：M. Fabricio Perez (Wilfrid Laurier University), Andriy Shkilko (Wilfrid Laurier University)

摘要：金融研究表明，公司通過管理名義股價來迎合投資者對低價股票的偏好，且這種偏好随時間變化。我們的研究表明：現有的對這種迎合行為的實證檢驗使用了高持久性的數據，可能導緻在實際獨立的變量之間發現顯著的相關性（僞回歸偏差）。我們重新研究了迎合假設，應用了五種可以減少數據持久性影響的估計技巧。對持久性進行調整後，從數據中無法發現證據表明股票分拆是迎合動機的産物。存在相反的證據表明，迎合動機影響公司對分拆後價格和IPO價格的選擇。

關鍵詞：迎合，名義股價，低價股票，股票分拆

Catering Through Nominal Share Prices Revisited

M. Fabricio Perez (Wilfrid Laurier University), Andriy Shkilko (Wilfrid Laurier University)

ABSTRACT

Finance research suggests that firms cater to investors’ time-varying preference for low-priced stocks by managing nominal share prices. We show that the existing empirical tests of such catering use highly persistent data that may lead to finding significant relations between variables that are actually independent (spurious regression bias). We revisit the catering hypothesis applying five estimation techniques that reduce the effects of data persistence. Adjusted for persistence, the data offer little evidence that stock splits respond to catering incentives. There is some, although mixed, evidence that catering incentives affect the firms’ choice of the post-split prices and the IPO prices.

Keywords: catering; nominal share prices; low-priced stocks; stock splits

原文鍊接：http://cfr.ivo-welch.info/readers/2017/perez-shkilko.pdf

翻譯：任兆月