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Volatility increases subsequent to stock splits: An empirical aberration

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  • Ohlson, James A.
  • Penman, Stephen H.
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    File URL: http://www.sciencedirect.com/science/article/B6VBX-45KNKP7-27/2/5db698fd568679549b1bd300eb20a034
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 14 (1985)
    Issue (Month): 2 (June)
    Pages: 251-266

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    Handle: RePEc:eee:jfinec:v:14:y:1985:i:2:p:251-266

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    Web page: http://www.elsevier.com/locate/inca/505576

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    Cited by:
    1. Schwert, G William & Seguin, Paul J, 1990. " Heteroskedasticity in Stock Returns," Journal of Finance, American Finance Association, vol. 45(4), pages 1129-55, September.
    2. Peress, Joel, 2010. "The tradeoff between risk sharing and information production in financial markets," Journal of Economic Theory, Elsevier, vol. 145(1), pages 124-155, January.
    3. Décamps, Jean-Paul & Lovo, Stefano, 2003. "Market Informational Inefficiency, Risk Aversion and Quantity Grid," IDEI Working Papers 177, Institut d'Économie Industrielle (IDEI), Toulouse.
    4. Chern, Keh-Yiing & Tandon, Kishore & Yu, Susana & Webb, Gwendolyn, 2008. "The information content of stock split announcements: Do options matter?," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 930-946, June.
    5. J. David Cummins & Christopher M. Lewis, 2002. "Catastrophic Events, Parameter Uncertainty and the Breakdown of Implicit Long-term Contracting in the Insurance Market: The Case of Terrorism Insurance," Center for Financial Institutions Working Papers 02-40, Wharton School Center for Financial Institutions, University of Pennsylvania.
    6. Pia Bandyopadhyay & James Hackard & Yiuman Tse, 2010. "The effect of stock splits on iShare exchange-traded funds," Managerial Finance, Emerald Group Publishing, vol. 36(2), pages 134-159, February.
    7. Mukherji, Sandip & Kim, Yong H. & Walker, Michael C., 1997. "The effect of stock splits on the ownership structure of firms," Journal of Corporate Finance, Elsevier, vol. 3(2), pages 167-188, April.
    8. Desai, Chintal A. & Savickas, Robert, 2010. "On the causes of volatility effects of conglomerate breakups," Journal of Corporate Finance, Elsevier, vol. 16(4), pages 554-571, September.
    9. Matthew J. Clayton & Jay C. Hartzell & Joshua V. Rosenberg, 2003. "The impact of CEO turnover on equity volatility," Staff Reports 166, Federal Reserve Bank of New York.
    10. Wulff, Christian, 1999. "The market reaction to stock splits: Evidence from Germany," SFB 373 Discussion Papers 1999,42, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    11. Anshuman, V. Ravi & Kalay, Avner, 2002. "Can splits create market liquidity? Theory and evidence," Journal of Financial Markets, Elsevier, vol. 5(1), pages 83-125, January.
    12. Kamara, Avraham & Koski, Jennifer Lynch, 2001. "Volatility, autocorrelations, and trading activity after stock splits," Journal of Financial Markets, Elsevier, vol. 4(2), pages 163-184, April.
    13. Green, T. Clifton & Hwang, Byoung-Hyoun, 2009. "Price-based return comovement," Journal of Financial Economics, Elsevier, vol. 93(1), pages 37-50, July.
    14. Chen, Chun-nan & Wu, Chunchi, 2009. "Small trades and volatility increases after stock splits," International Review of Economics & Finance, Elsevier, vol. 18(4), pages 592-610, October.
    15. Kalotychou, Elena & Staikouras, Sotiris K. & Zagonov, Maxim, 2009. "The UK equity market around the ex-split date," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 534-549, July.
    16. Svedsater, Henrik & Gamble, Amelie & Garling, Tommy, 2007. "Money illusion in intuitive financial judgments: Influences of nominal representation of share prices," The Journal of Socio-Economics, Elsevier, vol. 36(5), pages 698-712, October.
    17. Jiang, Christine X. & Kim, Jang-Chul & Wood, Robert A., 2002. "The change in trading activity on volatility and adverse selection component: evidence from ADR splits," Journal of Multinational Financial Management, Elsevier, vol. 12(4-5), pages 323-345.
    18. Bjursell, Johan & Frino, Alex & Tse, Yiuman & Wang, George H.K., 2010. "Volatility and trading activity following changes in the size of futures contracts," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 967-980, December.
    19. David Michayluk & Paul Kofman, 2001. "Market Structure and Stock Splits," Research Paper Series 62, Quantitative Finance Research Centre, University of Technology, Sydney.

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