We show that corporate decision to split stocks experience a significant change in security systematic risk prior to the announcement and higher abnormal returns. However, the abnormal returns1, it is shown, are significantly lower than those reported by FFJR.
A Re-examination of Stock Splits Using Moving Betas,' The Journal of Finance, Vol. 32, No. 4 (September 1977), pp. 1069-1080.
BAR-YOSEF, SASSON;
1977
Abstract
We show that corporate decision to split stocks experience a significant change in security systematic risk prior to the announcement and higher abnormal returns. However, the abnormal returns1, it is shown, are significantly lower than those reported by FFJR.
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