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THE MARKET REACTION TO STOCK SPLIT ON ACTUAL STOCK SPLIT DAY

Resource type
Graduating extended essay / Research project
Date created
2014-12
Authors/Contributors
Author: Huang, Yu
Author: Fan, Yixin
Abstract
It is well documented in the literature that there are positive abnormal returns on the announcement days of stock splits. However, few studies investigated the stock return on the actual split day. We examine market reaction on the actual split day and find that it is positive. We also find a negative relationship between the market reaction and firm size as well as the previous trading volume. The result is in support of the inattention theory.
Description
MSc in Finance Project-Simon Fraser University

Keywords

Copyright statement
Copyright is held by the author(s).
Permissions
You are free to copy, distribute and transmit this work under the following conditions: You must give attribution to the work (but not in any way that suggests that the author endorses you or your use of the work); You may not use this work for commercial purposes.
Scholarly level
Graduate student (Masters)
Peer reviewed?
No
Language
English
Member of collection
Beedie School of Business: Segal Graduate School Final Projects

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