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Measurement Effects and the Variance of Returns After Stock Splits and Stock Dividends

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References

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1991Measuring the Information Content of Stock Trades1,868 cited
1993Differences of Opinion Make a Horse Race1,650 cited
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1983Biases in computed returns771 cited
1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
1984The valuation effects of stock splits and stock dividends629 cited
1993Volume, Volatility, and the Dispersion of Beliefs478 cited
1985Volatility increases subsequent to stock splits: An empirical aberration255 cited
1993The Effect of Public Information and Competition on Trading Volume and Price Volatility244 cited
1990

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The Effects of Stock Splits on Bid-Ask Spreads

214 cited

Cited by

2003The Effect Of Stock Splits On Liquidity And Excess Returns: Evidence From Shareholder Ownership Composition62 cited
2017Informed Trading around Stock Split Announcements: Evidence from the Option Market53 cited
2002Can splits create market liquidity? Theory and evidence47 cited
2011Stock repurchases and treasury share sales: Do they stabilize price and enhance liquidity?44 cited
2013Market liquidity and bank-dominated corporate governance: Evidence from Japan44 cited
2002The Market Reaction to Stock Splits — Evidence from Germany41 cited
2008Portfolio selection subject to experts' judgments41 cited
2004Can event study methods solve the currency exposure puzzle?38 cited
2003Stock splits: implications for investor trading costs38 cited
2009The tradeoff between risk sharing and information production in financial markets38 cited
2009The Impact of Clientele Changes: Evidence from Stock Splits37 cited
2001Volatility, autocorrelations, and trading activity after stock splits36 cited
2006The effect of stock splits on clientele: Is tick size relevant?32 cited
2014Little guys, liquidity, and the informational efficiency of price: Evidence from the Tokyo Stock Exchange on the effects of small investor participation29 cited
2004Adverse selection, brokerage coverage, and trading activity on the Tokyo Stock Exchange25 cited
2004WHEN‐ISSUED SHARES, SMALL TRADES, AND THE VARIANCE OF RETURNS AROUND STOCK SPLITS25 cited