The Empirical Analysis Of The Impact On A Share Stock Prices Of The Phenomenon Of High Bonus Share

The phenomenon of high bonus shares has been a hot topic of Chinese A shares.However,the high bonus shares actually cannot benefit the shareholders since it is in fact just accounting transformation.The interesting fact is that when a company decides to execute such transformation,its stock price soars in general.This article applies the event study theory and considers several important time factors such as the revealing date of the projects of high bonus,the date of shareholders meeting,the date of the public announcement of high bonus,the date of registration of shares and the date of dividend to analyze the abnormal returns of high bonus shares.The result is that investors indeed have significant positive expectations of the returns of high bonus shares.For different time factors,the reaction of investors are different.For the revealing date of high bonus shares project,the abnormal returns are significant for the day of revealing.For the public announcement of high bonus,the abnormal returns are significant for several days before it and the abnormal returns last for several days until the announcement.Before and after the day of shareholders meeting,the abnormal returns are both significant for several days.For the dividends date and the date of registration of shares,the abnormal returns are significant for the days before them.We use logistics and multiple linear regression model to analyze the abnormal returns and find out the market value and the turnover rate of high bonus shares are negatively related with the abnormal returns.The rate of high bonus is significantly positively related with the abnormal returns.The P/E ratio,P/B ratio and the factor that whether the high bonus shares is subnew stock cannot effectively explain the abnormal returns.