The authors examine one-three-year performance of common stocks following 5,596 stock split and 76 reverse split announcements made during the period 1976-91. For stock splits, on average, the one- and three-year buy-and-hold abnormal returns after the announcement month are 7.05 percent and 11.87 percent, respectively. For reverse splits, the corresponding abnormal returns are -10.76 percent and -33.90 percent. The results suggest that the market underreacts to both the stock split and the reverse split announcements. The authors also find that the announcement period and the long-run abnormal returns are both positively associated with an increase in dividends. Copyright 1997 by University of Chicago Press.

Long-Run Common Stock Returns Following Stock Splits and Reverse Splits

We review the theories on how liquidity affects the required returns of capital assets and the empirical studies that test these theories. The theory predicts that both the level of liquidity and liquidity risk are priced, and empirical studies find the effects of liquidity on asset prices to be statistically significant and economically important, controlling for traditional risk measures and asset characteristics. Liquidity-based asset pricing empirically helps explain (1) the cross-section of stock returns, (2) how a reduction in stock liquidity result in a reduction in stock prices and an increase in expected stock returns, (3) the yield differential between on- and off-the-run Treasuries, (4) the yield spreads on corporate bonds, (5) the returns on hedge funds, (6) the valuation of closed-end funds, and (7) the low price of certain hard-to-trade securities relative to more liquid counterparts with identical cash flows, such as restricted stocks or illiquid derivatives. Liquidity can thus play a role in resolving a number of asset pricing puzzles such as the small-firm effect, the equity premium puzzle, and the risk-free rate puzzle.

Liquidity and Asset Prices

This research is titled “Analysis of Trading volume activity and Average Abnormal Return before and after the stock split pada companies listed on the bursa efek indonesia” . this research aims to analysing is there any differences between the abnormal return and the trading volume activity before and after the stock split. The data that have been used in this research are the daily stock price and the IHSG of the companies who did the stock split in 2011 till 2015.By the purposive sampling methods, there is 32 companies who did the stock split that listed on the bursa efek indonesia. Analysis technique that has been used is Uji normalitas dan uji beda dua sampel berhubungan uji wilcoxon with the event window is 5 days before and 5 days after the stock split.The result of this research is show that there is 0,024 < 0,05 significant value from the Pengujian Uji Beda between trading volume activity before and trading volume activity after stock split. Based on that fact, there is 0,033 < 0,05 significant value from pengujian uji beda between abnormal return before and bid-ask spread after the stock split. Thus can be interpreted that there is a difference between abnormal return before and after stock split. So that the Indonesia Capital market is yet efficient and yet strong enough by the stock split. Keywords: Stock split, Abnormal Return, Trading volume activity.

http://jurnal.unissula.ac.id/index.php/ekobis/article/download/1618/1229

Analisis trading volume activity dan average abnormal return sebelum dan sesudah melakukan pemecahan saham (stock split) pada perusahaan yang terdaftar di bursa efek indonesia.

Mayoritas manejemen perusahaan memiliki pendapat bahwa aksi stock split dapat menurunkan harga saham ke posisi harga tertentu yang dianggap ideal untuk meningkatkan likuiditas dari saham perusahaan Peninjauan tingkat likuiditas saham diukur berdasarkan Trading Volume Activity (TVA) Oleh karena itu, tujuan dari penelitian ini adalah menguji efek stock split terhadap volume transaksi dagang saham baik dalam periode mingguan dan bulanan Analisis ini mengambil sampel dari emiten terdaftar di Bursa Efek Indonesia (BEI) yang melakukan aksi stock split selama tahun 2012 sampai 2017 Sebanyak 71 data observasi diambil dengan metode purposive sampling untuk mendapatkan perusahaan dengan transaksi saham yang aktif Penelitian menggunakan cara paired t-test sampling yang membandingkan rata-rata 5 hari volume transaksi saham sebelum dan sesudah aksi stock split untuk analisis periode mingguan, sedangkan analisis periode bulanan mengambil periode waktu  rata-rata 20 hari sebelum dan sesudah stock split  Hasil dari penelitian ini mendukung penelitian dari Copeland (1979) dan Alteza, Hidayati & Darmawati (2014) yang menyatakan bahwa aksi stock split secara signifikan berpengaruh negatif terhadap likuiditas saham karena persentase penambahan outstanding shares yang terjadi lebih tinggi dibandingkan perubahan volume transaksi saham

Pengaruh stock split terhadap likuiditas emiten di bursa efek indonesia

http://www.wneiz.pl/nauka_wneiz/frfu/37-2011/FRFU-37-323.pdf

Wpływ podziału akcji na stopę zwrotu z inwestycji w akcje

In the stock market there occur some events that contradict the efficient market hypothesis therefore they are called anomalies. One of the mysterious corporate events which has attracted the attention of numerous researchers is a stock split. I perform the review of implications of splitting the stock for market liquidity of companies listed on the Warsaw Stock Exchange and the Vienna Stock Exchange. I use event study, in particular Market model method and Market adjusted return method, to inspect the behavior of abnormal changes in daily trading volume for stock splits performed between 2000 through 2011 over a short run and assuming a longer time interval. Moreover, I juxtapose the results for both stock exchanges to examine whether the stock split phenomenon for two major capital markets from this part of Europe can be better explained by means of existing theories on stock splits. The research is aimed at analyzing the implications of the split for market liquidity, i.e. whether there occurs an immediate effect following the split as well as whether this corporate event improves the level of market liquidity over long run. Furthermore, the goal of the paper is to investigate whether the investors can cash in on the stock split, more specifically, whether they can profit from lower transaction costs. I document a significant growth in the market liquidity of stock splitting firms over 36 months following the split for both capital markets what is indicative of lower transaction costs for investors. The 1–percent significant results are consistent with the liquidity hypothesis on stock splits.

Józef Rudnicki

Papers

Stock Splits and Liquidity for Two Major Capital Markets from Central–Eastern Europe

Ryzyko inwestycji w akcje spółek związanych z produkcją energii odnawialnej

Impact of Stock Splits on Trading Liquidity - Evidence from the New York Stock Exchange

Wpływ podziału akcji na stopę zwrotu z inwestycji w akcje

Stopa zwrotu dla akcjonariuszy w następstwie splitu - przykład wiedeńskiej Giełdy Papierów Wartościowych