Abstract

http://ssrn.com/abstract=899409
 
 

References (38)



 
 

Citations (2)



 


 



The Information Content of Stock Split Announcements: Do Options Matter?


Keh Yiing Chern


Willow Bridge Asset Management

Kishore Tandon


CUNY Baruch College - Zicklin School of Business

Susana Yu


Iona College

Gwendolyn P. Webb


City University of New York (CUNY) - Baruch College - Zicklin School of Business

January 2006


Abstract:     
We provide a new test of the informational efficiency of trading in stock options in the context of stock split announcements. Stock split announcements are generally associated with positive abnormal returns. After controlling for market returns, market capitalization, book-to-market ratio, and trading volume, we find that the abnormal returns around stock split announcements are significantly lower for NYSE/Amex stocks that are optioned than for stocks that are not optioned. This is consistent with the hypothesis that the prices of optioned stocks embody more information, diminishing the impact of the stock split announcement. This provides new evidence of the beneficial effects of options on their underlying stocks.

Number of Pages in PDF File: 30

Keywords: stock split announcements, options

JEL Classification: G14, G32

working papers series





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Date posted: May 3, 2006  

Suggested Citation

Chern, Keh Yiing and Tandon, Kishore and Yu, Susana and Webb, Gwendolyn P., The Information Content of Stock Split Announcements: Do Options Matter? (January 2006). Available at SSRN: http://ssrn.com/abstract=899409 or http://dx.doi.org/10.2139/ssrn.899409

Contact Information

Keh Yiing Chern
Willow Bridge Asset Management ( email )
No Address Available
United States
Kishore Tandon
CUNY Baruch College - Zicklin School of Business ( email )
55 Lexington Avenue
New York, NY 10010
United States
(646) 312-3468 (Phone)
(646) 312-3451 (Fax)
Susana Yu (Contact Author)
Iona College ( email )
715 North Avenue
New Rochelle, NY 10801
United States
Gwendolyn P. Webb
City University of New York (CUNY) - Baruch College - Zicklin School of Business ( email )
Department of Economics & Finance
P.O. Box B10-225, 1 Bernard Baruch Way
New York, NY 10010
United States
646-312-3485 (Phone)
646-312-3458 (Fax)
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