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The Effects of Splitting on the Ex: A Microstructure Reconciliation

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Author Info
Michael T. Maloney
J. Harold Mulherin

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Abstract

Our research investigates stock splits: why they happen, how they affect shareholder wealth, and whether they enhance liquidity for splitting firms. Prior research has not reached a clear-cut answer as to the role of stock splits. While there is definitely a favorable stock price reaction to the announcement of splits, the reason for the positive announcement return is not well-determined. Conventional wisdom suggests that the benefit of splits comes from improved share liquidity; yet empirical evidence has produced ambiguous results on liquidity. More detailed theoretical arguments pose stock splits as part of a strategy used by management to signal value, yet such arguments seem overly complex for such a basic management decision. Moreover, in spite of complex explanations, an anomaly remains: splitting firms also experience positive returns on the split execution day. This event is known well in advance, so any associated favorable information should already be priced into the stock.

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Publisher Info
Article provided by Financial Management Association in its journal Financial Management.

Volume (Year): 21 (1992)
Issue (Month): 4 (Winter)
Pages:
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Handle: RePEc:fma:fmanag:maloney92

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  1. Roger Huang & H. Weingartner, 2000. "Do Market Makers Suffer from Splitting Headaches?," Journal of Financial Services Research, Springer, vol. 17(2), pages 105-126, August. [Downloadable!] (restricted)
  2. C. Wulff, . "The Market Reaction to Stock Splits - Evidence from Germany -," Sonderforschungsbereich 373 1999-42, Humboldt Universitaet Berlin.
  3. Juan Carlos Gómez-Sala, 2001. "Rentabilidad y liquidez alrededor de la fecha de desdoblamiento de las acciones," Investigaciones Economicas, Fundación SEPI, vol. 25(1), pages 171-202, January. [Downloadable!]
  4. David Michayluk & Paul Kofman, 2001. "Market Structure and Stock Splits," Research Paper Series 62, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  5. John R. Ezzell & James A. Miles & J. Harold Mulherin, 2001. "Is there Really a When-Issued Premium?," Claremont Colleges Working Papers 2001-34, Claremont Colleges. [Downloadable!]
  6. Tawatnuntachai, Oranee & D'Mello, Ranjan, 1999. "Intra-industry reactions of stock split announcements," Working Papers 1999-01, University of New Orleans, Department of Economics and Finance. [Downloadable!]
  7. Chitru S. Fernando & Srinivasan Krishnamurthy & Paul A. Spindt, 2002. "Is the Offer Price in IPOs Informative? Underpricing, Ownership Structure, and Performance," Center for Financial Institutions Working Papers 01-33, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  8. William Hardin & Kartono Liano & Gow-Cheng Huang, 2005. "REIT Stock Splits and Market Efficiency," The Journal of Real Estate Finance and Economics, Springer, vol. 30(3), pages 297-315, April. [Downloadable!] (restricted)
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