An Empirical Note on US Stock Split Announcements, 2000-2009

This article analyses the market reaction to stock splits announcements, using a unique US sample over the period 2000 to 2009. Our event study finds a significantly positive Cumulative Average Abnormal Return (CAAR) around the announcement date. Liquidity increases lead to higher stock price changes, which supports the liquidity improvement hypothesis. Further, firm size and abnormal returns are inversely related, which is in line with the attention hypothesis

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Year of publication:	2014
Authors:	Li, Xiaoqi ; Stork, Philip ; Zou, Liping
Publisher:	[S.l.] : SSRN
Subject:	Aktiensplit \| Stock split \| Ankündigungseffekt \| Announcement effect \| USA \| United States \| Börsenkurs \| Share price \| Aktie \| Share

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