Abstract
Companies that conduct a stock split or a reverse stock split are essentially making a change in the company’s capital structure, which should not affect the value of the company according to classical finance theory. However, multiple studies indicate that there is positive abnormal return related to stock splits. Similarly, there are studies showing negative abnormal return associated with reverse stock splits. In the Norwegian market however, few studies have been conducted to research the events and their effects. To contribute to further knowledge about the effect of splits and reverse splits, this thesis will study how such events have an impact on the stock return in the Norwegian market at the Oslo Stock Exchange. This thesis will, based on a quantitative research method, examine if there is abnormal return related to a company’s decision to carry out stock splits or reverse stock splits on its shares. The time period in question is between January 2000 and end of August 2018. The hypothesis is that there is no abnormal return related to the events, and the event study methodology is used to determine whether the hypothesis is, or is not, compatible with the data. The abnormal return is calculated based on the Market Model and its significance is tested parametrically. The events are examined from three points in time related to the company’s decision; the date for the proposal, the date for the announcement and the ex-date. This thesis does not find sufficient evidence of abnormal return associated with a decision to conduct a reverse stock split, however there is sufficient evidence of abnormal return surrounding the ex-date of a stock split. Innholdsfortegnelse SAMMENDRAG...................................................................................................................................3 ABSTRACT ...........................................................................................................................................4 INNHOLDSFORTEGNELSE..............................................................................................................5 1. INTRODUKSJON ......................................................................................................................7 2. PROBLEMSTILLING.............................................................................................................10 2.1 HYPOTESE...........................................................................................................................11 2.2 FORSKNINGSDESIGN............................................................................................................11 2.3 OPPGAVENS OPPBYGNING ...................................................................................................11 3. TEORI........................................................................................................................................13 3.1 MODIGLIANI-MILLER TEOREMET........................................................................................13 3.2 RANDOM WALK...................................................................................................................14 3.3 MARKEDSEFFISIENS ............................................................................................................15 3.4 TIDLIGERE STUDIER PÅ UNORMAL AVKASTNING.................................................................18 3.5 HVORFOR GJENNOMFØRE EN AKSJESPLITT? ........................................................................19 3.5.1 Signaliseringshypotesen ................................................................................................20 3.5.2 Likviditetshypotesen ......................................................................................................20 3.5.3 Forsømte selskaper-hypotesen ......................................................................................20 3.6 HVORFOR GJENNOMFØRE EN AKSJESPLEIS? ........................................................................21 4. METODE...................................................................................................................................22 4.1 DATAGRUNNLAG ................................................................................................................22 4.1.1 Oslo Børs.......................................................................................................................23 4.1.2 Utvalg ............................................................................................................................23 4.2 ETISKE SIDER VED UNDERSØKELSEN...................................................................................29 4.3 VALG OG REDEGJØRELSE AV METODE.................................................................................29 4.4 BEREGNE UNORMAL AVKASTNING......................................................................................31 4.4.1 Markedsindeks...............................................................................................................31 4.4.2 Faktisk avkastning.........................................................................................................32 4.4.3 Estimere normalavkastning, Markedsmodellen ............................................................32 4.4.4 Unormal avkastning ......................................................................................................33 4.4.5 Kumulativ gjennomsnittlig unormal avkastning............................................................34 4.4.6 Hypotesetest...................................................................................................................35 4.4.7 P-verdi...........................................................................................................................36 4.4.8 Konfidensintervall .........................................................................................................37 5. ANALYSE OG PRESENTASJON AV FUNN.......................................................................38 5.1 EFFEKTER AV AKSJESPLEIS .................................................................................................38 5.1.1 Forslag ..........................................................................................................................39 6 5.1.2 Kunngjøring...................................................................................................................41 5.1.3 Ex-dato...........................................................................................................................43 5.2 EFFEKTER AV AKSJESPLITT..................................................................................................46 5.2.1 Forslag...........................................................................................................................47 5.2.2 Kunngjøring...................................................................................................................49 5.2.3 Ex-dato...........................................................................................................................51 5.3 DISKUSJON OG OPPSUMERING .............................................................................................54 6. KONKLUSJON OG FORSLAG TIL VIDERE FORSKNING............................................56 6.1 KONKLUSJON ......................................................................................................................56 6.2 FORSLAG TIL VIDERE FORSKNING........................................................................................56 LITTERATURLISTE.........................................................................................................................58 VEDLEGG ...........................................................................................................................................63 DETALJERT OVERSIKT OVER SPLEISGRUPPEN I UTVALGET ................................................................63 DETALJERT OVERSIKT OVER SPLITTGRUPPEN I UTVALGET ................................................................69
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