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- Rentabilidad Y Liquidez Alrededor De Los Splits

  • Juan Carlos Gómez Sala


    (Universidad de Alicante)

This paper examines the empirical behaviour of stock prices around the ex dates of stock splits in order to detect anomalous returns. Also, it is investigated the determinant factors of the split size, its effects on the liquidity and the influence of the market microstructure in the abnormal returns. The obtained evidence in the Spanish capital market indicates that the split average abnormal returns is about 1%, on the execution day. These results can not be explained by an improvement in the assets liquidity. They suggest that market microstructure phenomena bias upward the average abnormal returns. Approximately a half of them could be attributed jointly to changes in the order flow and to an increase of the relative spread, induced by an asymmetric increase in the ask price compared to the bid. En este trabajo se analiza el comportamiento del precio de las acciones alrededor de la fecha de realización de un split, a fin de detectar la posible generación de rendimientos extraordinarios. Asimismo, se investigan los determinantes del factor de desdoblamiento, sus efectos sobre la liquidez y la influencia de la microestructura del mercado en las rentabilidades anormales. La evidencia obtenida indica que los splits generan en el mercado de capitales español rentabilidades anormales medias próximas al 1%, centradas en el día de ejecución de la operación y no explicadas por una mejora en la liquidez. Los resultados sugieren que determinados fenómenos microestructurales sesgan al alza los rendimientos anormales de forma que, aproximadamente la mitad de los mismos, se podrían atribuir conjuntamente a cambios en el flujo de órdenes y a un incremento del spread relativo, inducido por un aumento asimétrico del precio ask relativo a bid.

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Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 1999-01.

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Length: 33 pages
Date of creation: Feb 1999
Date of revision:
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasec:1999-01
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