English, Article edition: The Market Reaction Around Ex-Dates of Stock Splits Before and After Decimalization Robin K. Chou; Wan-Chen Lee; Sheng-Syan Chen

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/132305
Physical Description
  • article
Language
  • English

Edition details

Title
  • The Market Reaction Around Ex-Dates of Stock Splits Before and After Decimalization
Author
  • Robin K. Chou
  • Wan-Chen Lee
  • Sheng-Syan Chen
Physical Description
  • article
Notes
  • This paper examines the stock price behavior around the ex-split dates both before and after the decimalization on the New York Stock Exchange (NYSE). We find that the abnormal ex-split day returns decrease and the abnormal trading volume increases in the 1/​16th and decimal pricing eras, relative to the 1/​8th pricing era. These findings are consistent with the microstructure-based explanations for the ex-day price movements. Our study also supports the hypothesis that short-term traders perform arbitrage activities during the ex-split dates when transaction costs become lower after the tick size is reduced.
  • Stock splits, decimalization, ex-dates
  • RePEc:wsi:rpbfmp:v:08:y:2005:i:02:p:201-216
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment