STOCK SPLITS AND ADVERSE SELECTION

Date created
2015-12
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Abstract
What impact can the market expect from a stock split announcement? This paper delves into the effect of stock split announcements on the immediate excess return over the market for stocks in the US market by considering stock splits over a span of 35 years from 1980 to 2014 across different industries. We find that the average market reaction to stock splits announcement is 1.5%. We also find that excess return over the market after stock split announcement is negatively correlated with firm size and positively correlated with bid-ask spread upon the application of industry fixed effect and year fixed effect. However, upon the application of firm fixed effect, these relationships are not significant. In addition, we found that there is no significant relationshi
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Rokade, A and Soltanizadeh S.pdf 646.07 KB