Reexamining the Long-Run Stock Split Anomaly Puzzle

45 Pages Posted: 16 Oct 2001

See all articles by Rodney D Boehme

Rodney D Boehme

Wichita State University - Department of Finance, Real Estate & Decision Sciences (FREDS)

Date Written: November 2001

Abstract

Long-run performance is reexamined following stock splits during 1950 to 2000. Significantly positive and robust equally weighted abnormal returns are documented during the first year following the announcement month; however, significant value weighted long-run abnormal returns are largely confined to the period from 1975 to 1987. When long-run performance is examined following the ex or effective date of stock splits, abnormal returns are insignificant, except for equally weighted portfolios during 1975 to 1987. Further analysis documents that the equally weighted long-run abnormal performance during 1975 to 1987 is strongly correlated with unexpected decreases in post-split systematic risk.

Keywords: anomalies, long-run performance, market efficiency, stock splits

JEL Classification: G12, G14

Suggested Citation

Boehme, Rodney D, Reexamining the Long-Run Stock Split Anomaly Puzzle (November 2001). Available at SSRN: https://ssrn.com/abstract=287044 or http://dx.doi.org/10.2139/ssrn.287044

Rodney D Boehme (Contact Author)

Wichita State University - Department of Finance, Real Estate & Decision Sciences (FREDS) ( email )

Wichita, KS 67260-0078
United States

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
761
Abstract Views
3,320
rank
33,742
PlumX Metrics