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
Date Written: April 7, 2011
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