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REIT Stock Splits and Liquidity Changes

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  • Gow-Cheng Huang

    ()

  • Kartono Liano

    ()

  • Ming-Shiun Pan

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11146-009-9222-y
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    Bibliographic Info

    Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

    Volume (Year): 43 (2011)
    Issue (Month): 4 (November)
    Pages: 527-547

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    Handle: RePEc:kap:jrefec:v:43:y:2011:i:4:p:527-547

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    Web page: http://www.springerlink.com/link.asp?id=102945

    Related research

    Keywords: REIT stock split; Liquidity; Attention-grabbing; Signaling; G32;

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    References

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    1. Lakonishok, Josef & Lev, Baruch, 1987. " Stock Splits and Stock Dividends: Why, Who, and When," Journal of Finance, American Finance Association, vol. 42(4), pages 913-32, September.
    2. Hodrick, Laurie Simon, 1999. "Does stock price elasticity affect corporate financial decisions?," Journal of Financial Economics, Elsevier, vol. 52(2), pages 225-256, May.
    3. Brennan, Michael J & Hughes, Patricia J, 1991. " Stock Prices and the Supply of Information," Journal of Finance, American Finance Association, vol. 46(5), pages 1665-91, December.
    4. Qiang Li & Hua Sun & Seow Ong, 2006. "REIT Splits and Dividend Changes: Tests of Signaling and Information Substitutability," The Journal of Real Estate Finance and Economics, Springer, vol. 33(2), pages 127-150, September.
    5. McNichols, Maureen & Dravid, Ajay, 1990. " Stock Dividends, Stock Splits, and Signaling," Journal of Finance, American Finance Association, vol. 45(3), pages 857-79, July.
    6. Angel, James J, 1997. " Tick Size, Share Prices, and Stock Splits," Journal of Finance, American Finance Association, vol. 52(2), pages 655-81, June.
    7. William M. Gentry & Deen Kemsley & Christopher J. Mayer, 2001. "Dividend Taxes and Share Prices: Evidence from Real Estate Investment Trusts," NBER Working Papers 8486, National Bureau of Economic Research, Inc.
    8. Dubofsky, David A, 1991. " Volatility Increases Subsequent to NYSE and AMEX Stock Splits," Journal of Finance, American Finance Association, vol. 46(1), pages 421-31, March.
    9. Grinblatt, Mark S. & Masulis, Ronald W. & Titman, Sheridan, 1984. "The valuation effects of stock splits and stock dividends," Journal of Financial Economics, Elsevier, vol. 13(4), pages 461-490, December.
    10. Banerjee, Suman & Gatchev, Vladimir A. & Spindt, Paul A., 2007. "Stock Market Liquidity and Firm Dividend Policy," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(02), pages 369-397, June.
    11. Kadapakkam, Palani-Rajan & Krishnamurthy, Srinivasan & Tse, Yiuman, 2005. "Stock Splits, Broker Promotion, and Decimalization," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(04), pages 873-895, December.
    12. Desai, Anand S & Nimalendran, M & Venkataraman, S, 1998. "Changes in Trading Activity Following Stock Splits and Their Effect on Volatility and the Adverse-Information Component of the Bid-Ask Spread," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(2), pages 159-83, Summer.
    13. Goyenko, Ruslan Y. & Holden, Craig W. & Trzcinka, Charles A., 2009. "Do liquidity measures measure liquidity?," Journal of Financial Economics, Elsevier, vol. 92(2), pages 153-181, May.
    14. 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.
    15. Brennan, Michael J. & Copeland, Thomas E., 1988. "Stock splits, stock prices, and transaction costs," Journal of Financial Economics, Elsevier, vol. 22(1), pages 83-101, October.
    16. Lesmond, David A & Ogden, Joseph P & Trzcinka, Charles A, 1999. "A New Estimate of Transaction Costs," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1113-41.
    17. Lamoureux, Christopher G & Poon, Percy, 1987. " The Market Reaction to Stock Splits," Journal of Finance, American Finance Association, vol. 42(5), pages 1347-70, December.
    18. William G. Hardin III & Kartono Liano & Gow-cheng Huang, 2002. "The Ex-Dividend Pricing of REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(4), pages 533-549.
    19. Ikenberry, David L. & Rankine, Graeme & Stice, Earl K., 1996. "What Do Stock Splits Really Signal?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(03), pages 357-375, September.
    20. Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
    21. Paul Schultz, 2000. "Stock Splits, Tick Size, and Sponsorship," Journal of Finance, American Finance Association, vol. 55(1), pages 429-450, 02.
    22. Nayar, Nandkumar & Rozeff, Michael S., 2001. "Record Date, When-Issued, and Ex-Date Effects in Stock Splits," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(01), pages 119-139, March.
    23. Copeland, Thomas E, 1979. "Liquidity Changes Following Stock Splits," Journal of Finance, American Finance Association, vol. 34(1), pages 115-41, March.
    24. Liu, Weimin, 2006. "A liquidity-augmented capital asset pricing model," Journal of Financial Economics, Elsevier, vol. 82(3), pages 631-671, December.
    25. Holden, Craig W., 2009. "New low-frequency spread measures," Journal of Financial Markets, Elsevier, vol. 12(4), pages 778-813, November.
    26. Su Han Chan & Wai Kin Leung & Ko Wang, 1998. "Institutional Investment in REITs: Evidence and Implications," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 357-374.
    27. Easley, David & O'Hara, Maureen & Saar, Gideon, 2001. "How Stock Splits Affect Trading: A Microstructure Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(01), pages 25-51, March.
    28. 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.
    29. Datar, Vinay T. & Y. Naik, Narayan & Radcliffe, Robert, 1998. "Liquidity and stock returns: An alternative test," Journal of Financial Markets, Elsevier, vol. 1(2), pages 203-219, August.
    30. Gray, Stephen F. & Smith, Tom & Whaley, Robert E., 2003. "Stock splits: implications for investor trading costs," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 271-303, May.
    31. Brad M. Barber & Terrance Odean, 2008. "All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors," Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 785-818, April.
    32. Desai, Hemang & Jain, Prem C, 1997. "Long-Run Common Stock Returns following Stock Splits and Reverse Splits," The Journal of Business, University of Chicago Press, vol. 70(3), pages 409-33, July.
    33. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
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