NDLI: Impact of split-share structure reform upon capita market validity: An empirical study based on three-factor model

Content Provider	IEEE Xplore Digital Library
Author	Liu Wei-qi Niu Jin-xia Zhang Xin-dong
Copyright Year	2009
Description	Author affiliation: School of Management, Shanxi University, China, 030006 (Liu Wei-qi; Niu Jin-xia; Zhang Xin-dong)
Abstract	Split-share structure reform has been a focus since its implementation. It is of great significance in theory and practice to solve whether the circulation initiatives of 2/3 of the non-outstanding shares for listing companies are promoting the development of capital markets validity. By sampling A-share listed before December 31, 1996 in Shanghai Stock Market, this paper analyzes the simulation of three-factor model before and after split-share structure reform through putting April 29, 2005 as the cut-off point, in order to examine the effects of split-share structure reform on the improvement of capital market efficiency. The empirical results show that: the intercepts of three-factor models are not different from zero after split-share structure reform, 25 portfolios do not have extraordinary returns, and the capital market tends to be effective; the explanatory power of market factor to returns decreases, while the powers of size and BM increase; all BM regression coefficients of 25 portfolios tend to be intensive. These evidences suggest that split-share structure reform has contributed to the improvement of capital market efficiency from an empirical view.
Starting Page	737
Ending Page	743
File Size	180396
Page Count	7
File Format	PDF
ISBN	9781424439706
DOI	10.1109/ICMSE.2009.5318218
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2009-09-14
Publisher Place	Russia
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Conference management BM split-share structure reform capital market validity Analytical models Engineering management size Pricing Sampling methods Mathematical model Resource management three-factor model Stock markets Portfolios Testing
Content Type	Text
Resource Type	Article

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