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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/72706

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/72706

Title:	The Market Reaction around Ex-Dates of Stock Splits Before and After Decimalization
Authors:	周冠男 Chou, Robin K.;Lee, Wan-Chen;Chen, Sheng-Syan
Contributors:	財管系
Keywords:	Stock splits;decimalization;ex-dates
Date:	2005-08
Issue Date:	2015-01-08 17:58:11 (UTC+8)
Abstract:	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.
Relation:	Review of Pacific Basin Financial Markets and Policies, 8(2), 201-216.
Data Type:	article
Appears in Collections:	[財務管理學系] 期刊論文

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