| dc.description.abstract | This thesis consists in an analysis of stock splits, and their relationship with dispersion of beliefs and herding.
Chapter 1 introduces the topics that I tackle throughout the thesis. In particular, I motivate the interest in herding and stock splits
presenting the unifying interpretation line among each chapter.
Chapter 2 proposes a literature review on stock splits, focusing
on the explanations that the theoretical literature suggests and the
empirical evidence of the market reaction.
Chapter 3 reports the results of an empirical analysis around the
time of a stock split on the relation between the dispersion of beliefs
among investors and the market reaction and future performance of
the splitting company. We provide empirical results on a sample of US
splits which occurred from 1993 to 2004. They show that, at the time
around the announcement of a split, the distribution of the analysts
forecasts changes in mean and dispersion. Moreover, an event study
shows that the di¤erences of opinion have an impact on the future
performance of the splitting firms and on the motivations behind the
event.
Chapter 4 focuses on a literature review of herding, and in particular on the empirical investigation of imitative behavior among institu-
tional investors.
Chapter 5 examines the relation between herding and stock splits.
By herding we mean the abnormal correlation of trades among insti-
tutional investors, according to the methodology developed by Sias
(2004). We use data on the buying and selling activity of US insti-
tutional investors, from 1994 to 2005. The results show a significant
level of convergence in the overall market, both for splitting and non-
splitting companies. We decompose this effect into the contributions
of several types of herding. We observe the significant impact of informational cascades on the splitting stocks sample, while reputational
herding and characteristic preference have a relevant impact on the
non-splitting sample. The evidence of informational content in the
split event is confirmed by the stabilizing effect of herding we find in
the future returns of splitting companies.
Chapter 6 concludes, summarizing the main results and contributions of the thesis. | en_US |
