O efeito dos stock splits na liquidez das ações/The effect of stock splits in stock liquidity

Hugo André Sousa Seguro, Célia Oliveira, Elisabete Mendes Duarte

Abstract


Objetivos: A liquidez desempenha um papel crucial no bom funcionamento dos mercados financeiros e, ao longo dos anos, tem-se assistido a uma preocupação das empresas em maximizar os níveis de liquidez das suas ações. Os stocks splits têm sido um dos veículos utilizados para atingir este objetivo, pelo que o presente trabalho visa estudar o comportamento da liquidez das ações de empresas europeias que realizaram stock splits.

Metodologia: Para testar o efeito na liquidez resultante dos 69 stock splits realizados por 68 empresas pertencentes ao STOXX Europe 600, entre 2010 e 2016, utilizou-se a metodologia de estudo de evento, com recurso a testes estatísticos não paramétricos e a três medidas de liquidez: rácio de turnover, LMx de Liu (2006) e ILLIQ de Amihud (2002).

Resultados: Embora não seja possível concluir de forma inequívoca sobre os efeitos do stock split nos níveis de liquidez com uma janela de evento de um mês, os resultados obtidos sugerem que a liquidez aumenta nos 12 meses posteriores ao mês da operação.

Implicações práticas: Os resultados encontrados permitem aos gestores, considerar na tomada de decisões, os efeitos esperados dos stocks splits na liquidez das ações.

Originalidade e valor: Atendendo a que grande parte da literatura sobre o tema se concentra em empresas dos EUA, o presente trabalho contribui para alargar o conhecimento a uma amostra de empresas europeias.


Purpose: Liquidity plays a crucial role in financial markets and, over the years, companies have been concerned in maximizing the liquidity levels of their stocks. Stock splits have been one of the vehicles used to achieve this goal and therefore this paper aims to study the behavior of liquidity levels in European companies that have done stock splits.

Methodology: To test the impact in liquidity of the 69 stock splits performed by 68 companies belonging to STOXX Europe 600, between 2010 and 2016, we used event study methodology, nonparametric statistical tests and three liquidity measures: turnover ratio, LMx of Liu (2006) and ILLIQ of Amihud (2002).

Findings: Although it is not possible to conclude about stock split effects on liquidity levels with a one-month event window, the results suggest that liquidity increases in the 12 months after the stock split operation.

Practical implications: The obtained results allow managers to consider the expected effects of stock splits on stock liquidity in their decisions.

Originality/value: Since the related literature is mostly focused on US markets, this work contributes to broaden knowledge by studying a sample of European companies.


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References


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