haku: @indexterm Stock splits / yhteensä: 17
viite: 10 / 17
| Tekijä: | Easley, D. O'Hara, M. Saar, G. |
| Otsikko: | How Stock Splits Affect Trading: A Microstructure Approach |
| Lehti: | Journal of Financial and Quantitative Analysis
2001 : MAR, VOL. 36:1, p. 25-52 |
| Asiasana: | STOCK SPLITS TRADE FINANCE |
| Kieli: | eng |
| Tiivistelmä: | Extending an empirical technique developed in Easley, Kiefer, and O'Hara (1996), (1997a), the authors examine different hypotheses about stock splits. In line with the trading range hypothesis, the authors find that stock splits attract uninformed traders. However, the authors also find that informed trading increases, resulting in no appreciable change in the information content of trades. Therefore, the authors do not find evidence consistent with the hypothesis that stock splits reduce information asymmetries. The optimal tick size hypothesis predicts that stock splits attract limit order trading and this enhances the execution quality of trades. While the authors find an increase in the number of executed limit orders, their effect is overshadowed by the increase in the costs of executing market orders due to the larger percentage spreads. |
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