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The role of information in stock split announcement effects
7 references·3 citing·46 second hop
The role of information in stock split announcement effects (1993)The role of information in stock split an…Volatility Increases Subsequent to NYSE and AMEX Stock Splits (1991)Volatility Increases Subseque…The Informational Impact of Announcements of Stock Dividends and Stock Splits (1989)The Informational Impact of A…Stock splits, stock prices, and transaction costs (1988)Stock splits, stock prices, a…Investigating security-price performance in the presence of event-date uncertainty (1988)Investigating security-price …Beta Changes Around Stock Splits: A Note (1988)Beta Changes Around Stock Spl…Stock Splits and Stock Dividends: Why, Who, and When (1987)Stock Splits and Stock Divide…Is There A Neglected Firm Effect? (1987)Is There A Neglected Firm Eff…Why Do Companies Pay Stock Dividends? The Case of Bonus Distributions in an Inflationary Environment (2011)Why Do Companies Pay Stock Di…The valuation effects of stock splits in NASDAQ (2006)The valuation effects of stoc…The effect of split announcements on Canadian stocks (2003)The effect of split announcem…Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Asset pricing and the bid-ask spread (1986)Agency costs of free cash flow, corporate finance, and takeovers (1996)Shareholder wealth effects of stock dividends in a unique environment (2013)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)The Relation Between Price Changes and Trading Volume: A Survey (1987)Using neural networks to forecast the S&P 100 implied volatility (1996)CHANGES IN TRADING ACTIVITY FOLLOWING STOCK SPLITS AND THEIR EFFECT ON VOLATILITY AND THE ADVERSE‐INFORMATION COMPONENT OF THE BID‐ASK SPREAD (1998)Measurement Effects and the Variance of Returns After Stock Splits and Stock Dividends (1998)Price performance of common stock new issues (1975)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)The relation between the Value Line enigma and post-earnings-announcement drift (1992)Corporate Events, Trading Activity, and the Estimation of Systematic Risk: Evidence From Equity Offerings and Share Repurchases (1994)The Relationship Between Stock Market Returns and Technical Efficiency Innovations: Evidence from the US Airline Industry (1998)The Adjustment of Stock Prices to New Information (1969)Using daily stock returns (1985)The Adjustment of Stock Prices to New Information (2003)The Differences between Stock Splits and Stock Dividends - Evidence from Denmark (2004)The Differences Between Stock Splits and Stock Dividends: Evidence on the Retained Earnings Hypothesis (2007)Market Reaction Around the Stock Splits and Bonus Issues: Some Indian Evidence (2008)Dividend Policy under Asymmetric Information (1985)Predisclosure Information, Firm Capitalization, and Security Price Behavior Around Earnings Announcements (1985)Long‐Run Common Stock Returns Following Stock Splits and Reverse Splits (1997)Underreaction to Self-Selected News Events: The Case of Stock Splits (2002)Does Algorithmic Trading Reduce Information Acquisition? (2017)The Information Content of Annual Earnings Announcements (1968)Measuring security price performance (1980)Gradual Incorporation of Information: Pharmaceutical Stocks and the Evolution of President Clinton’s Health Care Reform (2001)All Events Induce Variance: Analyzing Abnormal Returns When Effects Vary Across Firms (2003)Estimating the Structure of Market Reaction to News: Information Events and Lumber Futures Prices (2005)The theory and practice of econometrics (1986)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Share Price Reaction to Earnings Announcement on the JSE-ALtX: A Test for Market Efficiency (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The over-reaction effect—Some UK evidence (1991)Listing Changes and Visibility Gains (2016)Is idiosyncratic risk priced? The international evidence (2022)INFORMATIONAL ASYMMETRIES, FINANCIAL STRUCTURE, AND FINANCIAL INTERMEDIATION (1977)Informational Asymmetries, Financial Structure, and Financial Intermediation (1977)The Determination of Financial Structure: The Incentive-Signalling Approach (1977)Stock Prices and the Supply of Information (1991)What Do Stock Splits Really Signal? (1996)Tick Size, Share Prices, and Stock Splits (1997)
this work references cited by second hop

References

  • 1987Stock Splits and Stock Dividends: Why, Who, and When457 cited
  • 1988Stock splits, stock prices, and transaction costs316 cited
  • 1991Volatility Increases Subsequent to NYSE and AMEX Stock Splits108 cited
  • 1988Beta Changes Around Stock Splits: A Note99 cited
  • 1988Investigating security-price performance in the presence of event-date uncertainty71 cited
  • 1987Is There A Neglected Firm Effect?50 cited
  • 1989The Informational Impact of Announcements of Stock Dividends and Stock Splits45 cited

Cited by

  • 2003The effect of split announcements on Canadian stocks34 cited
  • 2011Why Do Companies Pay Stock Dividends? The Case of Bonus Distributions in an Inflationary Environment19 cited
  • 2006The valuation effects of stock splits in NASDAQ19 cited

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