Abstract

http://ssrn.com/abstract=410104
 
 

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The Impact of Clientele Changes: Evidence from Stock Splits


Ravi Dhar


Yale School of Management - International Center for Finance

William N. Goetzmann


Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)

Ning Zhu


China 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 Series





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Date posted: December 28, 2004  

Suggested Citation

Dhar, Ravi and Goetzmann, William N. and Zhu, Ning, The Impact of Clientele Changes: Evidence from Stock Splits. Yale ICF Working Paper No. 03-14; EFA 2005 Moscow Meetings Paper; AFA 2005 Philadelphia Meetings. Available at SSRN: http://ssrn.com/abstract=410104

Contact Information

Ravi Dhar
Yale School of Management - International Center for Finance ( email )
Box 208200
New Haven, CT 06520-8200
United States

William N. Goetzmann
Yale School of Management - International Center for Finance ( email )
135 Prospect Street
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-5950 (Phone)
203-432-8931 (Fax)
HOME PAGE: http://viking.som.yale.edu

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Ning Zhu (Contact Author)
China Academy of Financial Research (CAFR)
1954 Huashan Road
Shanghai P.R.China, 200030
China

Yale School of Management ( email )
135 Prospect Street
Box 208200
New Haven, CT 06520-8200
United States
HOME PAGE: http://pantheon.yale.edu/~nz26/
University of California, Davis - Graduate School of Management ( email )
One Shields Avenue
Davis, CA 95616
United States
530-752-3871 (Phone)
530-752-2924 (Fax)
HOME PAGE: http://www.gsm.ucdavis.edu/Faculty/Zhu/
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