haku: @author Dubofsky, D.A. / yhteensä: 2
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Tekijä: | Dubofsky, D.A. |
Otsikko: | Volatility increases subsequent to NYSE and AMEX stock splits |
Lehti: | Journal of Finance
1991 : MAR, VOL. 46:1, p. 421-431 |
Asiasana: | STOCK MARKETS FINANCIAL ANALYSIS USA |
Kieli: | eng |
Tiivistelmä: | The post-split increase in daily returns volatility is less for AMEX stocks than for NYSE stocks. The exchange trading location is a significant factor in explaining the volatility shift even after stock price and firm size are considered. Furthermore, when measured on a weekly basis, there is no increase in AMEX stocks' returns volatility. These results suggest that measurement errors created by bid-ask spreads and the 1/8 effect, and also one or more of the elements that make the NYSE different from the AMEX, explain why the estimated volatility of daily stock returns increases after the ex-split date. |
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