How Much Does Nominal Share Price Matter?

Chuang, Hongwei, Hongwei, Chuang

説明

The paper examines the relation between nominal share price and price momentum, explicitly controlling for nominal share price levels. The results show that very high/low nominal share price stocks lack price momentum and utilize more systemic risk which remains even controlling for stock splits. While splitting a stock allows firm managers to keep the nominal share price constant, thereby increasing firm value and attracting more investors, it also increases the likelihood of uninformed trading by those with limited budgets and risk share capacity. As a result, splitting a stock causes stock information to diffuse more slowly, leading to higher price momentum.

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CRID: 1050005822300581632

NII論文ID: 120006960676

Web Site: https://iuj.repo.nii.ac.jp/records/958

本文言語コード: en

資料種別: departmental bulletin paper

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