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| Tekijä: | Koski, J. L. |
| Otsikko: | Measurement effects and the variance of returns after stock splits and stock dividends |
| Lehti: | Review of Financial Studies
1998 : SPRING, VOL. 11:1, p. 143-162 |
| Asiasana: | STOCK RETURNS BIDDING PRICES DIVIDENDS STOCK SPLITS |
| Kieli: | eng |
| Tiivistelmä: | This paper investigates the relation between factors affecting stock returns, the bid-ask spread and price discreteness, and the increase in return variance after ex-dates of stock splits and stock dividends. Controlling for these effects the variance of daily returns still increases significantly. and the variance of returns for a control sample of nonsplitting firms shows no significant increase. Variance ratio tests show that bid-ask errors are small for these stocks and cannot explain the large increase in variance. Price discreteness and spreads do not explain increased variance after stock distributions. |
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