The Value of Trading Consolidation: Evidence from the Exercise of Warrants
利用深度价内公司权证行权这一事件，研究交易集中对流动性和股价的影响，发现权证到期后流动性和股价均显著上升，且股价涨幅与行权前的碎片化程度、行权后流动性改善及股份增加比例正相关。
We study the effect of trading consolidation by examining the response of liquidity and stock price to the exercise of deep in-the-money corporate warrants. This enables a relatively clean test of the value of trading consolidation. The exercise at the warrant expiration is fully anticipated and has no information content. An effect can come from the value of trading consolidation that improves liquidity. Indeed, we find that liquidity and stock prices both increase significantly at warrant expiration. Further, the price increase is positively related to the pre-exercise extent of fragmentation, to post-exercise improvement in stock liquidity, and to the proportional increase in the number of shares following the warrant exercise.