Record Date, When-Issued and Ex-Date Effects in Stock Splits

Posted: 5 Mar 2001

See all articles by Michael S. Rozeff

Michael S. Rozeff

SUNY at Buffalo - Department of Financial & Managerial Economics

Nandkumar Nayar

University of Oklahoma

Abstract

Negative abnormal stock returns of about one percent occur near record dates of stock splits. Further, the lower the returns, the more positive are ex-date returns and when-issued premiums. A possible explanation of these related phenomena is that trading hindrances associated with record dates create trading inconvenience that is reflected in lower prices near record dates. In turn, anomalous positive ex-date returns arise in part from the abnormally low prices of unsplit shares caused by the negative record date returns.

Suggested Citation

Rozeff, Michael S. and Nayar, Nandkumar, Record Date, When-Issued and Ex-Date Effects in Stock Splits. Journal of Financial and Quantitative Analysis, March 2001. Available at SSRN: https://ssrn.com/abstract=252508

Michael S. Rozeff (Contact Author)

SUNY at Buffalo - Department of Financial & Managerial Economics ( email )

Buffalo, NY 14260
United States

Nandkumar Nayar

University of Oklahoma ( email )

307 W Brooks
Norman, OK 73019
United States

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