Long-Run Common Stock Returns Following Stock Splits and Stock Dividends
Author | : Hemang Desai |
Publisher | : |
Total Pages | : |
Release | : 2012 |
ISBN-10 | : OCLC:1290778636 |
ISBN-13 | : |
Rating | : 4/5 (36 Downloads) |
Book excerpt: We examine one-to three-year performance of common stocks following stock split and stock dividend announcements made during the period 1976 to 1991. The average one-and three-year buy-and-hold abnormal returns after the announcement month are 8.19% and 7.55% respectively. Also, smaller firms exhibit larger announcement period as well as larger one-to three-year abnormal returns. The results cannot be explained away by general cash-dividend increase announcements or earnings announcements. Overall, the results are consistent with the hypothesis that the market underreacts to the stock split and the stock dividend announcements.