The Information Content and Stock Return Behavior around the Stock Splits - Evidence from India

Dr. Pradip Banerjee and Dr. Prithviraj S. Banerjee

Paradigm, 2010, vol. 14, issue 2, 64-75

Abstract: Earlier studies suggest that stock splits are associated with positive abnormal returns around the announcement days and execution days of the event. Although stock splits is an old practice in the west but the phenomenon is relatively new in the Indian context. This paper investigates the market reaction to stock splits using a data set of Indian stock splits from 2000 to 2008. This paper finds evidence of significant positive abnormal returns on and before the announcement and ex-days but it did .not sustain and get reversed after three days. The empirical results further confirm that the abnormal returns and significantly attributed to market capitalisation of the stocks.

Keywords: Stock splits; Split announcement; Abnormal return; Signaling Hypothesis (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:sae:padigm:v:14:y:2010:i:2:p:64-75

DOI: 10.1177/0971890720100208

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