Desdobramento de ações e liquidez acionária: um estudo sobre os impactos de curto e de longo prazo no mercado acionário brasileiro no período de 2011 a 2020

Abstract

For the present work, the effects of stock splits on their liquidity on the stock exchange in the period between 2011 and 2020 were observed. The study was based on the article The effects of stock splits on stock liquidity by Huang et al. (2015), which showed that split events in the US market have a very short-term impact on liquidity, a behavior that the present research also found in the Brazilian market. The data were collected from the data provider Economática and communications to the market in the companies' investor relations area. The tests performed involve the comparison of means using the Wilcoxon test. The results indicated that the significant increase in liquidity occurs at the announcement of the split event and decreases until the event. On the date of the event, liquidity rises again and, after the 5th day, drops to levels similar to those observed in the pre-announced period. Such results are consistent with signaling and/or attention-grabbing hypotheses, but not with the ideal price range for the benefit of increased liquidity. The results for the Brazilian market indicate that the decision to split the shares does not remedy the problem of low equity liquidity, since its effect seems to be only short term.