Long-Run Performance after Stock Splits: 1927 to 1996

Posted: 19 Aug 2003

See all articles by Jinho Byun

Jinho Byun

Ewha Womans University - College of Business Administration

Michael S. Rozeff

SUNY at Buffalo - Department of Financial & Managerial Economics

Abstract

We measure the postsplit performance of 12,747 stock splits from 1927 to 1996 using two methods to measure abnormal returns: size and book-to-market reference portfolios with bootstrapping, and calendar-time abnormal returns combined with factor models. Between 1927 and 1996, neither method applied to splits 25 percent or larger finds performance significantly different from zero. Over selected subperiods, subsamples of 2-1 splits restricted by book-to-market availability requirements display positive abnormal returns using some methods. However, these samples show small or negligible abnormal returns using the calendar-time method. Overall, the stock split evidence against market efficiency is neither pervasive nor compelling.

Suggested Citation

Byun, Jinho and Rozeff, Michael S., Long-Run Performance after Stock Splits: 1927 to 1996. Journal of Finance, Vol. 58, pp. 1063-1086, June 2003. Available at SSRN: https://ssrn.com/abstract=411137

Jinho Byun

Ewha Womans University - College of Business Administration ( email )

Seoul 120-750
Korea, Republic of (South Korea)
822 3277-3971 (Phone)
822 3277-2835 (Fax)

Michael S. Rozeff (Contact Author)

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

Buffalo, NY 14260
United States

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