Long-run common stock returns following stock splits and reverse splits

被引:111
作者
Desai, H
Jain, PC
机构
关键词
D O I
10.1086/209724
中图分类号
F [经济];
学科分类号
02 ;
摘要
We examine 1-3-year performance of common stocks following 5,596 stock split and 76 reverse split announcements made during the period 1976-91. For stock splits, on average, the 1- and 3-year buy-and-hold abnormal returns after the announcement month are 7.05% and 11.87%, respectively. For reverse splits, the corresponding abnormal returns are -10.76% and -33.90%. The results suggest that the market underreacts to both the stock split and the reverse split announcements, We also find that the announcement period and the long-run abnormal returns are both positively associated with an increase in dividends.
引用
收藏
页码:409 / 433
页数:25
相关论文
共 35 条
[1]   THE POST-MERGER PERFORMANCE OF ACQUIRING FIRMS - A REEXAMINATION OF AN ANOMALY [J].
AGRAWAL, A ;
JAFFE, JF ;
MANDELKER, GN .
JOURNAL OF FINANCE, 1992, 47 (04) :1605-1621
[2]  
ASQUITH P, 1989, ACCOUNT REV, V64, P387
[4]  
BARBER BM, 1996, DETECTING LONG RUN A
[5]   EVIDENCE THAT STOCK-PRICES DO NOT FULLY REFLECT THE IMPLICATIONS OF CURRENT EARNINGS FOR FUTURE EARNINGS [J].
BERNARD, VL ;
THOMAS, JK .
JOURNAL OF ACCOUNTING & ECONOMICS, 1990, 13 (04) :305-340
[6]   STOCK SPLITS, STOCK-PRICES, AND TRANSACTION COSTS [J].
BRENNAN, MJ ;
COPELAND, TE .
JOURNAL OF FINANCIAL ECONOMICS, 1988, 22 (01) :83-101
[7]   BETA-CHANGES AROUND STOCK SPLITS - A NOTE [J].
BRENNAN, MJ ;
COPELAND, TE .
JOURNAL OF FINANCE, 1988, 43 (04) :1009-1013
[8]  
CARHART M, 1995, PERSISTENCE MUTUAL F
[9]   Momentum strategies [J].
Chan, LKC ;
Jegadeesh, N ;
Lakonishok, J .
JOURNAL OF FINANCE, 1996, 51 (05) :1681-1713
[10]   DIVIDEND YIELD AND EXPECTED RETURNS - THE ZERO-DIVIDEND PUZZLE [J].
CHRISTIE, WG .
JOURNAL OF FINANCIAL ECONOMICS, 1990, 28 (1-2) :95-125