"May I Have Your Attention, Please?": Stock Split Announcement Effect - Evidence from the U.S. Stock Market

No Thumbnail Available
Journal Title
Journal ISSN
Volume Title
School of Business | Bachelor's thesis
Electronic archive copy is available locally at the Harald Herlin Learning Centre. The staff of Aalto University has access to the electronic bachelor's theses by logging into Aaltodoc with their personal Aalto user ID. Read more about the availability of the bachelor's theses.
Date
2019
Major/Subject
Mcode
Degree programme
Rahoitus
Language
en
Pages
31
Series
Abstract
In this paper, I study the existence of the stock split announcement effect in a unique sample from 2004 to 2018. The purpose of this paper is to confirm the abnormal returns surrounding stock split announcements for a completely new timeframe while examining the reasons for their existence. After finding positive abnormal returns of 2.34%, I further investigate the three most popular hypotheses researchers have uncovered. These include signaling, attention, and trading range hypothesis. When performing event studies and multivariate regressions, as well as calculating post-announcement drifts, I find support for attention hypothesis. The returns arising from attention tend to converge to zero during a post-announcement period of 40 days. Similar results are found in a subsample for the financial crisis. The results are robust against additional tests and controls.
Description
Thesis advisor
Ungeheuer, Michael
Keywords
stock split announcement, event study, CAAR, financial crisis
Other note
Citation