Quantit

๐Ÿ“ˆ Bonus Issue โ€” Causal DAG (KR Equity)

Short-term surge mechanism vs long-term returns of bonus issue announcements โ€ข Backdoor blocking โ€ข do-operator
Confounder (Z)
Treatment/Event (T)
Mediator (M)
Outcome (Y)
Collider (C)
Counterfactual
Market Regime [Confounder] Preโ€‘Announcement Momentum [Confounder] Size [Confounder] Liquidity (pre) [Confounder] Industry [Confounder] Bonus Issue [Treatment] Bonus Ratio [Treatment] Shortโ€‘Sale Constraint Binding [Mediator] Investor Attention Retail Inflow [Mediator] Tick Size / Price Discreteness [Mediator] Listingโ€‘Day Liquidity Shock [Mediator] Media Coverage [Collider] 0โ€“5d Abnormal Return [Outcome] 3โ€“12m Excess Return [Outcome] Counterfactuals (Treatment Variants) No Bonus 1 : 1 1 : 5 1 : 10

๐Ÿงช Estimand & Minimal Adjustment Set

Check estimands and minimal adjustment sets based on selected path types.
Estimand:
โ‘  Short-term: E[Y0โ€“5d | do(Bonus=1)] โˆ’ E[Y0โ€“5d | do(Bonus=0)]
โ‘ก Long-term: E[Y3โ€“12m | do(Bonus=1, Ratio=r)] โˆ’ E[Y3โ€“12m | do(Bonus=0)]
Minimal preโ€‘treatment controls:
Market Regime Industry FE log(Size) Liquiditypre Preโ€‘Announcement Momentum Date FE
Avoid conditioning on:
Investor Attention (M) Tick Size / Price Discreteness (M) Listingโ€‘Day Liquidity Shock (M) Media Coverage (Collider)
Y = ฮฑ + ฯ„ยทBonus + ฮฒยทRatio + ฮณโ€ฒZ_pre + IndustryFE + DateFE + ฮต

๐Ÿ“ˆ Path Statistics

Active Paths
0
Backdoors
0
Mediators
0

โ„น๏ธ Notes

โ€ข Shortโ€‘Sale Constraint: Stronger short-sale constraints can amplify event-driven overheating.
โ€ข Tick Size: After bonus issues, effects similar to stock splits result in finer execution units, narrowing bid-ask spreads and improving execution ease โ†’ enabling short-term liquidity premium.
โ€ข Media Coverage (Collider): Both announcement intensity and pre-momentum increase media exposure. Controlling for it can actually introduce bias, so avoid.

Path Description

Click a path button above to see detailed explanation.