The Permanent and Temporary Effects of Stock Splits on Liquidity in a Dynamic Semiparametric Model
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- Hafner, C. M. & Linton, O. B. & Wang, L., 2024. "The Permanent and Temporary Effects of Stock Splits on Liquidity in a Dynamic Semiparametric Model," Janeway Institute Working Papers 2404, Faculty of Economics, University of Cambridge.
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Keywords
; ; ; ; ; ; ;JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2024-04-08 (Financial Markets)
- NEP-MST-2024-04-08 (Market Microstructure)
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