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

Xiaoqi Li

Massey University - College of Business

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

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

Xiaoqi Li

Massey University - College of Business ( email )

New Zealand

Philip A. Stork

Vrije Universiteit Amsterdam, School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands

Tinbergen Institute ( email )

Gustav Mahlerplein 117
Amsterdam, 1082 MS
Netherlands

Liping Zou (Contact Author)

School of Economics and Finance, Massey Univeristy, Albany ( email )

Auckland, 0745
New Zealand

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
269
Abstract Views
1,455
rank
128,442
PlumX Metrics