The efficient market hypothesis implies that asset prices cannot be cointegrated. On the other hand, arbitrage processes prevent prices of fundamentally related assets from drifting far away. An attractive model that reconciles these two conflicting facts is the nonlinear error correction...

Although stock splits seem to be a purely cosmetic event, there exists ample empirical evidence from the United States that stock splits are associated with abnormal returns on both the announcement and the execution day, and additionally with an increase in variance following the ex-day. This...

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 both the announcement and the execution day of German stock splits. I also observe an increase in return variance and...

The efficient market hypothesis implies that (risk-adjusted) asset prices cannot be cointegrated. On the other hand, arbitrage processes prevent prices of fundamentally related assets from drifting too far away. An attractive model that reconciles these two conflicting facts is the non-linear...

Although stock splits seem to be a purely cosmetic event, there exists ample empirical evidence from the United States that stock splits are associated with abnormal returns on both the announcement and the execution day, and additionally with an increase in variance following the ex-day. This...

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...