Stock returns' variance behavior surrounding stock splits: evidence from trade-by-trade data 1978-1985

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dc.contributor.authorMacDonald, John Allanen
dc.contributor.committeechairPinkerton, John M.en
dc.contributor.committeememberKeown, Arthur J.en
dc.contributor.committeememberTaylor III, Bernard W.en
dc.contributor.committeememberHansen, Robert S.en
dc.contributor.committeememberLamy, Robert E.en
dc.contributor.committeememberThompson, G. Rodneyen
dc.contributor.departmentFinance, Insurance, and Business Lawen
dc.date.accessioned2014-08-13T14:38:36Zen
dc.date.available2014-08-13T14:38:36Zen
dc.date.issued1987en
dc.description.abstractAccepted financial theory holds that stock splits provide no wealth benefits to stock-holders. The corporate management view is that stock splits add value by placing the stock in a more liquid price range. Empirical explanations of excess returns near the split rely principally upon an information effect. Other findings are that (1) an unexplained, sustained jump in returns' variance occurs at the split, and (2) there appears to be a coincidental decrease in liquidity, not an increase. Daily returns from CRSP and daily and intradaily returns and daily trading volumes and price change information from trade-by-trade data are used to examine the returns variance increase and any connection it may have with any liquidity change. Binomial probability comparisons of returns' variance measures each side of the split ex-date are used to examine the variance change and liquidity change phenomena. T-tests are also used to examine the mean-variance change and the possible change in several liquidity measures. Linear regression is used to detect impact of the general market variance level, firm-specific variables, and microstructure measures, and liquidity measures upon the returns’ variance change. Findings include: (1) the variance increase is significant and exhibits a firm size effect and is affected by the previous history of splits use and. dividend payout, (2) the increase is primarily related to the price level adjustment and changes in the liquidity measures, (3) a slight change in the demand to hold as measured by the percentage of the firm traded takes place for firms with an increase in variance (4) the bid-ask spread decreases, but increases relative to the new price. Stock splits with increased returns’ variance have significantly different liquidity measures from splits where the variance declined.en
dc.description.adminincomplete_metadataen
dc.description.degreePh. D.en
dc.format.extentxi, 153 leavesen
dc.format.mimetypeapplication/pdfen
dc.identifier.urihttp://hdl.handle.net/10919/49855en
dc.publisherVirginia Polytechnic Institute and State Universityen
dc.relation.isformatofOCLC# 17241008en
dc.rightsIn Copyrighten
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/en
dc.subject.lccLD5655.V856 1987.M323en
dc.subject.lcshStock splittingen
dc.subject.lcshStocksen
dc.subject.lcshDividendsen
dc.titleStock returns' variance behavior surrounding stock splits: evidence from trade-by-trade data 1978-1985en
dc.typeDissertationen
dc.type.dcmitypeTexten
thesis.degree.disciplineFinance, Insurance, and Business Lawen
thesis.degree.grantorVirginia Polytechnic Institute and State Universityen
thesis.degree.leveldoctoralen
thesis.degree.namePh. D.en
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