Template-type: ReDIF-Paper 1.0
Author-Name: Hongwei Chuang
Author-Name-First:Hongwei
Author-Name-Last: Chuang
Author-Email: hongwei@iuj.ac.jp
Author-Workplace-Name: IUJ Research Institute, International University of Japan
Title: How Much Does Nominal Share Price Matter?
Abstract: 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.
Classification-JEL: G11, G12, G14
Length: 30 pages
Creation-Date: 2021-02
Number: EMS_2021_01
File-URL: https://www.iuj.ac.jp/workingpapers/index.cfm?File=EMS_2021_01.pdf
File-Format: Application/pdf
File-Function: First version, 2021
File-Size: 756KB
Keywords: Price Risk; Momentum Crash; Stock Split/Dividend
Handle: RePEc:iuj:wpaper:EMS_2021_01