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Abnormal Performance In Small Portfolios With Event‐Induced Volatility: The Case Of Stock Splits

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  • J. Samuel Baixauli

Abstract

In this article I present a test for detecting abnormal returns when the event analyzed induces volatility and the portfolio is small. The results show that the test is well specified and leads to significant gains in power. I subsequently analyze the abnormal returns around the stock split ex date according to the split factor and find significant abnormal returns only when the factor is greater than 2. The varying motives behind the splits may explain this finding.

Suggested Citation

  • J. Samuel Baixauli, 2007. "Abnormal Performance In Small Portfolios With Event‐Induced Volatility: The Case Of Stock Splits," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 30(1), pages 35-52, March.
    • Handle: RePEc:bla:jfnres:v:30:y:2007:i:1:p:35-52
    DOI: 10.1111/j.1475-6803.2007.00201.x
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    Cited by:

    1. Leledakis, George N. & Papaioannou, George J. & Travlos, Nickolaos G. & Tsangarakis, Nickolaos V., 2009. "Stock splits in a neutral transaction cost environment: Evidence from the Athens Stock Exchange," Journal of Multinational Financial Management, Elsevier, vol. 19(1), pages 12-25, February.

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