Ex-Day Returns of Stock Distributions: An Anchoring Explanation
提出锚定解释股票分红（包括股票股利、拆股和合股）的除息日异常回报，发现投资者倾向于锚定除权前价格，导致除息日回报与调整因子正相关，且该关系在投资者关注度低、套利困难、估值不确定等情况下更显著。
We offer a new anchoring explanation for the ex-day abnormal returns of stock distributions, including stock dividend distributions, splits, and reverse splits. We propose that investors tend to anchor on cum-day prices in valuating ex-distribution stocks, resulting in a positive association between ex-day returns and adjustment factors. We find that this positive return-factor relation exists for all three types of stock distributions and in both the pre- and post-decimalization periods. Furthermore, we find that this positive return-factor relation is more pronounced among events that are more subject to investors’ anchoring propensity, featured by less investor attention, greater arbitrage difficulty, greater valuation uncertainty, less investor sophistication, and higher market sentiment. Last, using brokerage account data, we show that stocks that are traded by investors with more investment experience demonstrate a weaker return-factor relation. The online appendix is available at https://doi.org/10.1287/mnsc.2017.2843 . This paper was accepted by Lauren Cohen, finance.