When Issued Shares Small Trades And The Variance Of Returns Around Stock Splits PDF Download
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Author | : James Angel |
Publisher | : |
Total Pages | : |
Release | : 2012 |
Genre | : |
ISBN | : |
Download When-Issued Shares, Small Trades and the Variance of Returns Around Stock Splits Book in PDF, ePub and Kindle
The increases in volatility subsequent to stock splits have long puzzled researchers. The usual suspects of discreteness and bid-ask spread do not provide a complete explanation. This paper offers clues to solve this mystery by examining the trading of quot;when, as and if issuedquot; shares that are available prior to the split. When-issued trading permits noise traders to compete with a more homogenous set of traders decreasing the volatility of the stock prior to the split date. Following the split, these noise traders reunite in one market and volatility increases. This suggests that the higher volatility after the ex-date of a stock split is a function of the introduction of when-issued trading before the ex-date, the new lower price level after the split date, and the increased activity of small-volume traders around a stock split.
Author | : John Allan MacDonald |
Publisher | : |
Total Pages | : 306 |
Release | : 1987 |
Genre | : Dividends |
ISBN | : |
Download Stock Returns' Variance Behavior Surrounding Stock Splits Book in PDF, ePub and Kindle
Author | : A. S. Desai |
Publisher | : |
Total Pages | : 66 |
Release | : 1996 |
Genre | : Stock splitting |
ISBN | : |
Download Changes in Trading Activity Following Stock Splits and Their Impact on Volatility and the Adverse Information Component of the Bid-ask Spread Book in PDF, ePub and Kindle
Author | : Christian Wulff |
Publisher | : |
Total Pages | : |
Release | : 2003 |
Genre | : |
ISBN | : |
Download The Market Reaction to Stock Splits - Evidence from Germany Book in PDF, ePub and Kindle
This paper investigates the market reaction to stock splits, using a set of German firms. Similar to the findings in the U.S., I find significant positive abnormal returns around boththe announcement and the execution day of German stock splits. I also observe an increase in return variance and in liquidity after the ex-day. Apparently, legal restrictions strongly limit the ability of German companies to use a stock split for signaling. I find that abnormal returns around the announcement day are consistently much lower in Germany than in the U.S. Further, I find that abnormal returns around the announcement day are not related to changes in liquidity, but (negatively) to firm size, thus lending support to the neglected firm hypothesis. On the methodological side the effect of thin trading on event study results is examined. Using trade-to-trade returns increases the significance of abnormal returns, but the difference between alternative return measurement methods is relatively small in short event periods. Thus, the observed market reaction cannot be attributed to measurement problemscaused by thin trading.
Author | : H. Kent Baker |
Publisher | : John Wiley & Sons |
Total Pages | : 552 |
Release | : 2009-05-04 |
Genre | : Business & Economics |
ISBN | : 0470455802 |
Download Dividends and Dividend Policy Book in PDF, ePub and Kindle
Dividends And Dividend Policy As part of the Robert W. Kolb Series in Finance, Dividends and Dividend Policy aims to be the essential guide to dividends and their impact on shareholder value. Issues concerning dividends and dividend policy have always posed challenges to both academics and professionals. While all the pieces to the dividend puzzle may not be in place yet, the information found here can help you gain a firm understanding of this dynamic discipline. Comprising twenty-eight chapters—contributed by both top academics and financial experts in the field—this well-rounded resource discusses everything from corporate dividend decisions to the role behavioral finance plays in dividend policy. Along the way, you'll gain valuable insights into the history, trends, and determinants of dividends and dividend policy, and discover the different approaches firms are taking when it comes to dividends. Whether you're a seasoned financial professional or just beginning your journey in the world of finance, having a firm understanding of the issues surrounding dividends and dividend policy is now more important than ever. With this book as your guide, you'll be prepared to make the most informed dividend-related decisions possible—even in the most challenging economic conditions. The Robert W. Kolb Series in Finance is an unparalleled source of information dedicated to the most important issues in modern finance. Each book focuses on a specific topic in the field of finance and contains contributed chapters from both respected academics and experienced financial professionals.
Author | : Cheng F. Lee |
Publisher | : World Scientific |
Total Pages | : 270 |
Release | : 2008 |
Genre | : Business & Economics |
ISBN | : 9812791698 |
Download Advances in Quantitative Analysis of Finance and Accounting Book in PDF, ePub and Kindle
Advances in Quantitative Analysis of Finance and Accounting is an annual publication designed to disseminate developments in the quantitative analysis of finance and accounting. The publication is a forum for statistical and quantitative analyses of issues in finance and accounting, as well as applications of quantitative methods to problems in financial management, financial accounting, and business management. The objective is to promote interaction between academic research in finance and accounting and applied research in the financial community and accounting profession. The chapters in this volume cover a wide range of important topics, including corporate finance and debt management, earnings management, options and futures, equity market, and portfolio diversification. These topics are very useful for both academicians and practitioners in the area of finance.
Author | : Cheng Few Lee |
Publisher | : World Scientific |
Total Pages | : 270 |
Release | : 2008-03-14 |
Genre | : Business & Economics |
ISBN | : 9814471836 |
Download Advances In Quantitative Analysis Of Finance And Accounting (Vol. 6) Book in PDF, ePub and Kindle
News Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University).Advances in Quantitative Analysis of Finance and Accounting is an annual publication designed to disseminate developments in the quantitative analysis of finance and accounting. The publication is a forum for statistical and quantitative analyses of issues in finance and accounting, as well as applications of quantitative methods to problems in financial management, financial accounting, and business management. The objective is to promote interaction between academic research in finance and accounting and applied research in the financial community and accounting profession.The chapters in this volume cover a wide range of important topics, including corporate finance and debt management, earnings management, options and futures, equity market, and portfolio diversification. These topics are very useful for both academicians and practitioners in the area of finance.
Author | : |
Publisher | : |
Total Pages | : 644 |
Release | : 2009 |
Genre | : Industrial relations |
ISBN | : |
Download Management and Labour Studies Book in PDF, ePub and Kindle
Author | : |
Publisher | : |
Total Pages | : 376 |
Release | : 2001 |
Genre | : International finance |
ISBN | : |
Download Multinational Finance Journal Book in PDF, ePub and Kindle
Author | : Robert Alan Schwartz |
Publisher | : Irwin Professional Publishing |
Total Pages | : 468 |
Release | : 1993 |
Genre | : Business & Economics |
ISBN | : 9781556236822 |
Download Reshaping the Equity Markets Book in PDF, ePub and Kindle