An Empirical Note on US Stock Split Announcements, 2000-2009

Li, Xiaoqi; Stork, Philip A.; Zou, Liping

doi:10.2139/ssrn.1804810

An Empirical Note on US Stock Split Announcements, 2000-2009

International Journal of Economic Perspectives, 2013.

15 Pages Posted: 11 Apr 2011 Last revised: 10 Nov 2014

See all articles by Xiaoqi Li

Philip A. Stork

Vrije Universiteit Amsterdam, School of Business and Economics; Tinbergen Institute

Liping Zou

School of Economics and Finance, Massey Univeristy, Albany

Date Written: April 7, 2011

Abstract

This article analyses the market reaction to stock splits announcements, using a unique US sample over the period 2000 to 2009. Our event study finds a significantly positive Cumulative Average Abnormal Return (CAAR) around the announcement date. Liquidity increases lead to higher stock price changes, which supports the liquidity improvement hypothesis. Further, firm size and abnormal returns are inversely related, which is in line with the attention hypothesis.

Keywords: Stock Splits, Event Study

JEL Classification: G12, G14, G34

Suggested Citation: Suggested Citation

Li, Xiaoqi and Stork, Philip A. and Zou, Liping, An Empirical Note on US Stock Split Announcements, 2000-2009 (April 7, 2011). International Journal of Economic Perspectives, 2013.. Available at SSRN: https://ssrn.com/abstract=1804810 or http://dx.doi.org/10.2139/ssrn.1804810