search query: @author Desai, A. / total: 5
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| Author: | Desai, A. Nimalendran, M. Venkataraman, S. |
| Title: | Changes in trading activity following stock splits and their effect on volatility and the adverse-information component of the bid-ask spread |
| Journal: | Journal of Financial Research
1998 : SUMMER, VOL. 21:2, p. 159-183 |
| Index terms: | SECURITIES TRADE VOLATILITY |
| Language: | eng |
| Abstract: | The authors examine the changes in trading activity around stock splits and their effect on volatility and the adverse-information component of the bid-ask spread. Even after controlling for microstructure biases, the authors find a significant increase in volatility after the split. Changes in total volatility and in its permanent component are positively related to changes in the number of trades. This suggests that both informed and noise traders contribute to changes in trading activity. |
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