مهار قیمت ارزش اسمی سهام
Abstract
1- Data
2- Trends in nominal stock prices
3- Nominal stock price after euro introduction
4- Conclusion
References
Abstract
Weld et al. (2009) find that the average nominal U.S. stock price has been approximately $25 since the Great Depression. They report that this “nominal price fixation is primarily a U.S. or North American phenomenon.” Using a larger data set from 38 countries, we show that this nominal price fixation is a global phenomenon. We exploit the introduction of the euro in 1999 to show that stock splits maintain these nominal stock price anchors. Generally, firms in countries with larger drops in nominal prices had fewer stock splits after stock prices were displayed in euros.
Nominal stock price
We start with the 49 countries analyzed in La Porta et al. (2006). We drop the following nine countries that have fewer than 40 firms on average: Ecuador, Jordan, Kenya, Nigeria, Sri Lanka, Taiwan, Uruguay, Venezuela, and Zimbabwe. We also exclude Finland and Mexico because they have less than 10 yearly observations of nominal stock prices prior to their currency regime changes, on which we elaborate later. The remaining 38 countries have reasonably large stock markets. We collect nominal stock prices of firms listed on each country's main organized exchange, in both the local currency and the U.S. dollar, at the end of June in each year from 1981 to 2010.4 We define the main organized exchange in a country as the exchange that holds the largest total stock market capitalization of the listed firms in that country. For example, the New York Stock Exchange and the London Stock Exchange, respectively, are the main exchanges in the U.S. and the U.K. The nominal stock price data are obtained from Datastream. We require that our sample firms have at least 10 consecutive yearly observations of nominal stock prices and market capitalizations. This restriction results in a sample of 21,285 firms from the 38 countries. The first four columns of Table 1 show the list of countries in the sample, the sample period in each country, the number of firms, and the name of the local currency. There is a large variation in the number of sample firms covered by Datastream across countries ranging from a minimum of 44 firms in Brazil to a maximum of 2816 firms in the U.S. For most countries, the sample period is 20e30 years. The last four columns of Table 1 present the mean and the median of the nominal stock prices at the end of June in each year in the local currency and in the U.S. dollar for each country during the sample period. We notice that the mean share price is much higher than the median share price in all countries. In quite a few cases, the mean price is several times higher than the median price, suggesting positively skewed distributions in nominal stock prices. An extreme case is Chile, where the mean price (3,813,682 pesos) is 13,620 times greater than the median price (280 pesos). We focus on the median prices in the analyses that follow because of this positive skewness.