Critical Finance Review, 2017(Forthcoming)

再论通过名义股价迎合投资者

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

摘要：金融研究表明，公司通过管理名义股价来迎合投资者对低价股票的偏好，且这种偏好随时间变化。我们的研究表明：现有的对这种迎合行为的实证检验使用了高持久性的数据，可能导致在实际独立的变量之间发现显著的相关性（伪回归偏差）。我们重新研究了迎合假设，应用了五种可以减少数据持久性影响的估计技巧。对持久性进行调整后，从数据中无法发现证据表明股票分拆是迎合动机的产物。存在相反的证据表明，迎合动机影响公司对分拆后价格和IPO价格的选择。

关键词：迎合，名义股价，低价股票，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

原文链接：http://cfr.ivo-welch.info/readers/2017/perez-shkilko.pdf

翻译：任兆月