Abstract:
This research investigated empirically why stock distribution announcement causes abnormal return. For stock split companies, the evidences support that liquidity improvement could be the first possible reason of occurrence of abnormal return during announcement date. The main groups of investors who increase their trading activity are retail and foreign investors. This study also presents another reason that is the occurrence of abnormal return during effective date. It is possible that this abnormal return comes from the increasing of buying demand flow during effective date. However, this study does not discover the evidence which support those two reasons in stock dividend companies. Lastly, this study finds no evidence to support that both of stock distribution announcement can attract market attention
