Analyst coverage and market reaction around stock split announcements
AbstractThis study examines the influence of the number of financial analysts following a firm on market reaction around the announcement of stock splits. Results show that the raw as well as abnormal returns at the announcement of stock splits are negatively related to the level of analyst coverage. The negative relation prevails even after controlling for size, book-to-market, momentum, split factors and post-split target price. Moreover, the impact of analyst coverage on market reaction is stronger for a sample of small size stocks than a sample of large stocks. The findings of this article suggest that information asymmetry is an important factor influencing market reaction to stock split announcements.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 22 (2012)
Issue (Month): 2 (January)
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