Capitalisation changes, valuation and market efficiency : Australian evidence / by Jason Valmadre.

Valmadre, Jason. (1994). Capitalisation changes, valuation and market efficiency : Australian evidence / by Jason Valmadre. Honours Thesis, School of Business, The University of Queensland.

       
Attached Files (Some files may be inaccessible until you login with your UQ eSpace credentials)
Name Description MIMEType Size Downloads
THE14980.pdf THE14980.pdf application/pdf 4.78MB 2
Author Valmadre, Jason.
Thesis Title Capitalisation changes, valuation and market efficiency : Australian evidence / by Jason Valmadre.
School, Centre or Institute School of Business
Institution The University of Queensland
Publication date 1994
Thesis type Honours Thesis
Total pages 121
Language eng
Subjects 14 Economics
15 Commerce, Management, Tourism and Services
Abstract/Summary In this thesis, share price movements are examined around the announcement of certain capitalisation changes. Previous Australian evidence in this area by Ball, Brown and Finn (1977) suggests that the equity market is efficient in both its timing (assessed using monthly data) and in its pricing of share splits, bonus and rights issues. That is, share prices adjust rapidly to reflect changes in expected future cash flows as modelled by changes in effective aggregate dividends paid to equity holders. This study extends Ball Brown and Finn (1977) by using daily data to examine not only share splits, bonus and rights issues but consolidations (reverse splits) as well. The two major findings are as follows: 1. the Australian equity market reacts quickly (normally within one trading day of the announcement) to incorporate unanticipated information regarding future cash flows conveyed by the abovementioned capitalisation announcements; and 2. that (assuming an efficient market) a signalling model based on year ahead changes in dividend policy alone does not capture all information priced by investors at the announcement date. This is so particularly in the case of equity issues (bonus and rights) where it is conjectured that Australian Stock Exchange Listing Rule requirements cause confounding, simultaneous firm-specific information to be released which is priced by investors.

 
Citation counts: Google Scholar Search Google Scholar
Access Statistics: 225 Abstract Views, 2 File Downloads  -  Detailed Statistics
Created: Wed, 10 Nov 2010, 14:38:16 EST by Mr Kevin Liang on behalf of The University of Queensland Library