Stock Splits and Attracting Attention: Are Investors Buying Abnormally More Around Stock Split Announcements?

30 Pages Posted: 1 Oct 2019

Date Written: October 12, 2018

Abstract

In this research I study whether stock splits attract market’s attention by exploring how investors are trading around event announcement dates. By employing high frequency intraday trading data from NYSE Trades and Quotes (TAQ) database I compute net abnormal buying around split announcements. The empirical tests on a matched pair sample of splitting and matching firms show that stock splits serve as attention attracting tool and investors are buying abnormally more around the announcements. Additional analysis confirms this finding – abnormal buying is significantly higher for larger splits. Furthermore, investors are more attracted to the splits that deliver higher subsequent long run stock performance.

Keywords: Stock Splits, Attention Attraction, Signaling, High Frequency Trading, Net Abnormal Buying

JEL Classification: G14, G30

Suggested Citation

Papiashvili, Nino, Stock Splits and Attracting Attention: Are Investors Buying Abnormally More Around Stock Split Announcements? (October 12, 2018). Available at SSRN: https://ssrn.com/abstract=3265165 or http://dx.doi.org/10.2139/ssrn.3265165

Nino Papiashvili (Contact Author)

Ulm University ( email )

Institute of Finance
Helmholtzstraße 18
Ulm, 89081
Germany

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