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Record Date, When-Issued, and Ex-Date Effects in Stock Splits

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  • Nayar, Nandkumar
  • Rozeff, Michael S.

Abstract

Negative abnormal stock returns of about 1% occur near record dates of stock splits. Further, the lower the returns, the more positive are ex-date returns and when-issued premiums. A possible explanation of these related phenomena is that trading hindrances associated with record dates create trading inconvenience that is reflected in lower prices near record dates. In turn, anomalous positive ex-date returns arise in part from the abnormally low prices of unsplit shares caused by the negative record date returns.

Suggested Citation

  • 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(1), pages 119-139, March.
    • Handle: RePEc:cup:jfinqa:v:36:y:2001:i:01:p:119-139_00
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    Cited by:

    1. Erik Devos & William B. Elliott & Richard S. Warr, 2018. "The Propensity to Split and CEO Compensation," Financial Management, Financial Management Association International, vol. 47(1), pages 105-129, March.
    2. Luc Renneboog & Christophe Spaenjers, 2011. "The Dutch Grey Market," De Economist, Springer, vol. 159(1), pages 25-40, March.
    3. Ravi Dhar & William Goetzmann & Ning Zhu & EFA Moscow, 2004. "The Impact of Clientele Changes: Evidence from Stock Splits," Yale School of Management Working Papers ysm369, Yale School of Management, revised 01 Sep 2009.
    4. Ravi Dhar & William Goetzmann & Ning Zhu & EFA Moscow, 2004. "The Impact of Clientele Changes: Evidence from Stock Splits," Yale School of Management Working Papers ysm369, Yale School of Management, revised 01 Sep 2009.
    5. Eric C. Chang & Tse-Chun Lin & Yan Luo & Jinjuan Ren, 2019. "Ex-Day Returns of Stock Distributions: An Anchoring Explanation," Management Science, INFORMS, vol. 65(3), pages 1076-1095, March.
    6. Gow-Cheng Huang & Kartono Liano & Ming-Shiun Pan, 2011. "REIT Stock Splits and Liquidity Changes," The Journal of Real Estate Finance and Economics, Springer, vol. 43(4), pages 527-547, November.
    7. Devos, Erik & Elliott, William B. & Warr, Richard S., 2015. "CEO opportunism?: Option grants and stock trades around stock splits," Journal of Accounting and Economics, Elsevier, vol. 60(1), pages 18-35.
    8. Gow-Cheng Huang & Kartono Liano & Ming-Shiun Pan, 2015. "The effects of stock splits on stock liquidity," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(1), pages 119-135, January.

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