search query: @indexterm STOCK SPLITS / total: 17
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| Author: | Nayar, N. Rozeff, M. S. |
| Title: | Record Date, When-Issued, and Ex-Date Effects in Stock Splits |
| Journal: | Journal of Financial and Quantitative Analysis
2001 : MAR, VOL. 36:1, p. 119-139 |
| Index terms: | STOCK SPLITS STOCK RETURNS STOCKS |
| Language: | eng |
| Abstract: | Negative abnormal stock returns of about 1% occur near record dates of stock splits. Further, the lower the returns, the more positive are ex-date returns and when- issued premiums. A possible explanation of these related phenomena is that trading hindrances associated with record dates create trading inconvenience that is reflected in lower prices near record dates. In turn, anomalous positive ex-date returns arise in part from the abnormally low prices of unsplit shares caused by the negative record date returns. Section 2 briefly discusses the hypotheses as well as some institutional features of stock splits. Section 3 then provides an event study. Section 4 conducts a cross-sectional analysis of the record period abnormal returns and the ex-date abnormal returns, as well as their relation to when-issued premiums. |
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