|
|
|
|
||||
|
||||
The Impact of Clientele Changes: Evidence from Stock SplitsRavi DharYale School of Management - International Center for Finance William N. GoetzmannYale School of Management - International Center for Finance; National Bureau of Economic Research (NBER) Ning ZhuChina Academy of Financial Research (CAFR); Yale School of Management; University of California, Davis - Graduate School of Management Yale ICF Working Paper No. 03-14 EFA 2005 Moscow Meetings Paper AFA 2005 Philadelphia Meetings Abstract: We examine the trades of individual and professional investors around stock splits and find that splits bring about a significant shift in investor clientele. We find that a higher fraction of post-split trades are made by less sophisticated investors, as individual investors increase and professional investors reduce their aggregate buying activity following stock splits. This behavior supports the common practitioners' belief that stock splits help attract new investors and improve stock liquidity. The shift in clientele also influences return properties, price discovery, and asset prices: stocks exhibit stronger serial correlation after splits; stocks co-move more with the market index; and the introduction of new investors explains part of the positive post-split drift puzzle.
Number of Pages in PDF File: 60 Keywords: Stock Splits, Clientele Change, Market Efficiency, Noise Trading, Investor Sophistication, Splits, Clientele Shift, Liquidity JEL Classification: G1, G3 Accepted Paper SeriesDate posted: December 28, 2004Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo5 in 0.703 seconds
