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The Effect Of Stock Splits On Excess Returns
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Book Synopsis The Effect of Stock Splits on Liquidity and Excess Returns by : Patrick J. Dennis
Download or read book The Effect of Stock Splits on Liquidity and Excess Returns written by Patrick J. Dennis and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the influence of firm ownership composition on both the abnormal returns at the announcement of a stock split and liquidity changes following a stock split. We find three results. First, the largest post-split increase in institutional ownership occurs for firms that had low institutional ownership before the split. Second, changes in liquidity are negatively related to the level of institutional ownership before the split. Last, the abnormal return following a split is negatively related to the level of institutional ownership before the split. These findings are important as they shed new light on the source of stock split announcement returns.
Book Synopsis The Effect of Stock Splits on Excess Returns by : Ali Osman Gurbuz
Download or read book The Effect of Stock Splits on Excess Returns written by Ali Osman Gurbuz and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Since Istanbul Stock Exchange is a young emerging stock exchange, the Turkish companies lack of equity capital. In a high inflationary world without having an inflation accounting system paying cash dividend can be disastrous for firms with low equity capital base. Therefore it is hardly difficult to observe cash dividend payments. The basic result of this widely used application is low dividend yields in emerging markets. As an emerging market investors seem to be attracted by capital gains and especially by gratis shares which can be seen as stock splits. Although stock splits seem to be a cosmetic transaction there are empirical evidence for United States that splits have effect on liquidity and returns. The purpose of the paper is to investigate the effects of stock splits on (liquidity and) excess returns and compare the results with the developed stock exchange cases. (Also the attention will be paid to price elasticity of demand during and after stock splits.)* Concepts which are not considered in the paper, but were seen in the first draft of the above abstract are indicated in parentheses.
Book Synopsis The Valuation Effects of Stock Splits and Stock Dividends by : Mark Grinblatt
Download or read book The Valuation Effects of Stock Splits and Stock Dividends written by Mark Grinblatt and published by . This book was released on 2007 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study presents evidence which indicates that stock prices, on average, react positively to stock dividend and stock split announcements that are uncontaminated by other contemporaneous firm-specific announcements. In addition, it documents significantly positive excess returns on and around the ex-dates of stock dividends and splits. Both announcement and ex-date returns were found to be larger for stock dividends than for stock splits. While the announcement returns cannot be explained by forecasts of imminent increases in cash dividends, the paper offers several signaling based explanations for them. These are consistent with a cross-sectional analysis of the announcement period returns.
Book Synopsis Proceedings of the 4th International Conference on Economic Management and Green Development by : Chunhui Yuan
Download or read book Proceedings of the 4th International Conference on Economic Management and Green Development written by Chunhui Yuan and published by Springer Nature. This book was released on 2021-08-13 with total page 527 pages. Available in PDF, EPUB and Kindle. Book excerpt: The proceedings shed light on selected topics including economic management, public administration, and green development. Featuring scholarly works from the 4th International Conference on Economic Management and Green Development (ICEMGD 2021), this volume of proceedings showcases the papers composed with regard to a diverse range of topics situated at the intersecting field of Economic Management, Public Administration and Green Development. Arising as the top concern of the global community, issues of green development impose challenges for the academia to bridge the interdisciplinary prowess in tackling the gap of knowledge within concerned fields. ICEMGD 2021 is an annual conference initiated by the year of 2017 under the goal of bringing together intellectuals from economics, business management, public administration, and otherwise related spheres for the share of research methods and theoretical breakthroughs. The aim of the proceeding volume is for the integration of social scientific research methods with research into alarming development issues. The ICEMGD 2021 seeks to promote joint initiatives among well-established fields like macro- and microeconomics, international economics, finance, agricultural economics, health economics, business management and marketing strategies, regional development studies, social governance, and sustainable development. Featuring interdisciplinary contributions, this book will be of interest to researchers, academics, professionals and policy makers in the field of economic management, public administration, and development studies.
Book Synopsis What Do Stock Splits Really Signal? by : David L. Ikenberry
Download or read book What Do Stock Splits Really Signal? written by David L. Ikenberry and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We observe significant post-split excess returns of 7.93% in the first year and 12.15% in the first three years for a sample of 1,275 two-for-one stock splits. These excess returns follow an announcement return of 3.38%, indicating that the market underreacts to split announcements. The evidence suggests that splits realign prices to a lower trading range, but managers self-select by conditioning the decision to split on expected future performance. Pre-split runup and post-split excess return are inversely related, indicating that our results are not caused by momentum.
Book Synopsis An Analysis of the Effect of Stock Splits on Market Price by : Arthur H. Schultz
Download or read book An Analysis of the Effect of Stock Splits on Market Price written by Arthur H. Schultz and published by . This book was released on 1957 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Further Evidence on the Impact of Stock Splits on Trading Liquidity by : Józef Rudnicki
Download or read book Further Evidence on the Impact of Stock Splits on Trading Liquidity written by Józef Rudnicki and published by . This book was released on 2013 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock splits have attracted the attention of academicians and practitioners for a long time. Many debates revolve around these often called "cosmetic” events that do not bring about any direct valuation implications. In spite of their simplicity and theoretically no motivation for any potential reaction this corporate event exerts influence on various stock's characteristics like liquidity, rates of return, shareholders' base etc. Considering the time period 2000-May 2011 the author examines the behavior of share volume following the stock splits of companies listed on the New York Stock Exchange and reports a 1-percent significant deterioration of this proxy of liquidity. Additionally, the greatest amplitude of abnormal changes in liquidity is observed during two trading sessions around the actual stock split although there is provided no new information to the market through the physical split of the shares outstanding since it is well-known in advance. The results obtained are indicative of the fact that splitting the stock as opposed to liquidity and/or trading range hypotheses on splits leads to liquidity deterioration what, in turn, should result in greater liquidity risk faced inter alia by brokers and/or market makers who may be willing to compensate for this unfavorable corollary of the corporate event at issue and, as a result, to charge higher transaction costs in the form of e.g. greater bid-ask spreads. On the other hand, shareholders, both existing and prospective, are likely to demand higher compensation for increased risk by requiring greater returns on such stocks.
Book Synopsis The New Finance by : Robert A. Haugen
Download or read book The New Finance written by Robert A. Haugen and published by . This book was released on 2012 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: A supplement for junior/senior and graduate level courses in Investments, Behavioral Finance Theory, and related courses. Teach the concepts that expose the inefficiency of capital markets. The New Finance is a comprehensive and organized collection of evidence and arguments that develop a persuasive case for an inefficient, complex and, at times, nearly chaotic stock market. This brief text also shows students how the complexity and uniqueness of investor interactions have important market pricing consequences. The fourth edition includes two new chapters on the real determinants of expected stock returns and the nature of stock volatility that the Financial Crisis of 2008 has exposed.
Book Synopsis The Effect of Stock Splits on Liquidity by : Patrick Dennis
Download or read book The Effect of Stock Splits on Liquidity written by Patrick Dennis and published by . This book was released on 1998 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Short-run Profits from Stock Splits by : Frank K. Reilly
Download or read book Short-run Profits from Stock Splits written by Frank K. Reilly and published by . This book was released on 1979 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Empirical Asset Pricing by : Turan G. Bali
Download or read book Empirical Asset Pricing written by Turan G. Bali and published by John Wiley & Sons. This book was released on 2016-02-26 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.
Book Synopsis The Market Reaction to Stock Splits - Evidence from India by : Asim Mishra
Download or read book The Market Reaction to Stock Splits - Evidence from India written by Asim Mishra and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock splits are a relatively new phenomenon in the Indian context. This paper examines the market effect of stock splits on stock price, return, volatility, and trading volume around the split ex-dates for a sample of stock splits undertaken in the Indian stock market over the period 1999-2005. The traditional view of stock splits as cosmetic transactions that simply divide the same pie into more slices is inconsistent with the significant wealth effect associated with the announcement of a stock split. However, the empirical evidence confirms a negative effect on price and return of stock splits. The overall cumulative abnormal returns after the split are negative. These results suggest that stock splits have induced the market to revise its optimistic valuation about future firm performance, rejecting signaling hypothesis to which splits convey positive information to markets. Hence, stock splits have reduced the wealth of the shareholders. The results also show that presence of a positive effect on volatility and trading volume following the split events, thus suggesting that split events enhance liquidity.
Book Synopsis Long-Run Common Stock Returns Following Stock Splits and Stock Dividends by : Hemang Desai
Download or read book Long-Run Common Stock Returns Following Stock Splits and Stock Dividends written by Hemang Desai and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine one-to three-year performance of common stocks following stock split and stock dividend announcements made during the period 1976 to 1991. The average one-and three-year buy-and-hold abnormal returns after the announcement month are 8.19% and 7.55% respectively. Also, smaller firms exhibit larger announcement period as well as larger one-to three-year abnormal returns. The results cannot be explained away by general cash-dividend increase announcements or earnings announcements. Overall, the results are consistent with the hypothesis that the market underreacts to the stock split and the stock dividend announcements.
Book Synopsis The Effect of Stock Splits on the Rate of Return of Toronto Stock Exchange Listed Companies by : Stephen T.B. Shaw
Download or read book The Effect of Stock Splits on the Rate of Return of Toronto Stock Exchange Listed Companies written by Stephen T.B. Shaw and published by . This book was released on 1999 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On Existence of an "optimal Stock Price" by : Lifan Wu
Download or read book On Existence of an "optimal Stock Price" written by Lifan Wu and published by . This book was released on 1996 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Market Reaction to Stock Splits - Evidence from Germany by : Christian Wulff
Download or read book The Market Reaction to Stock Splits - Evidence from Germany written by Christian Wulff and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the market reaction to stock splits, using a set of German firms. Similar to the findings in the U.S., I find significant positive abnormal returns around boththe announcement and the execution day of German stock splits. I also observe an increase in return variance and in liquidity after the ex-day. Apparently, legal restrictions strongly limit the ability of German companies to use a stock split for signaling. I find that abnormal returns around the announcement day are consistently much lower in Germany than in the U.S. Further, I find that abnormal returns around the announcement day are not related to changes in liquidity, but (negatively) to firm size, thus lending support to the neglected firm hypothesis. On the methodological side the effect of thin trading on event study results is examined. Using trade-to-trade returns increases the significance of abnormal returns, but the difference between alternative return measurement methods is relatively small in short event periods. Thus, the observed market reaction cannot be attributed to measurement problemscaused by thin trading.
Book Synopsis The Effect of Stock Splits and Stock Dividends on the Monthly Price Relatives of Common Stocks by : James A. Millar
Download or read book The Effect of Stock Splits and Stock Dividends on the Monthly Price Relatives of Common Stocks written by James A. Millar and published by . This book was released on 1971 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt:
