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Long-run Performance after Stock Splits: 1927 to 1996

Title
Long-run Performance after Stock Splits: 1927 to 1996
Authors
Byun J.Rozeff M.S.
Ewha Authors
변진호
SCOPUS Author ID
변진호scopus
Issue Date
2003
Journal Title
Journal of Finance
ISSN
0022-1082JCR Link
Citation
vol. 58, no. 3, pp. 1063 - 1085
Indexed
SSCI; SCOPUS scopus
Abstract
We measure the postsplit performance of 12,747 stock splits from 1927 to 1996 using two methods to measure abnormal returns: size and book-to-market reference portfolios with bootstrapping, and calendar-time abnormal returns combined with factor models. Between 1927 and 1996, neither method applied to splits 25 percent or larger finds performance significantly different from zero. Over selected subperiods, subsamples of 2-1 splits restricted by book-to-market availability requirements display positive abnormal returns using some methods. However, these samples show small or negligible abnormal returns using the calendar-time method. Overall, the stock split evidence against market efficiency is neither pervasive nor compelling.
DOI
10.1111/1540-6261.00558
Appears in Collections:
경영대학 > 경영학전공 > Journal papers
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