Record Date, When-Issued, and Ex-Date Effects in Stock Splits

Nandkumar Nayar and Michael S. Rozeff

Journal of Financial and Quantitative Analysis, 2001, vol. 36, issue 1, 119-139

Abstract: Negative abnormal stock returns of about 1% occur near record dates of stock splits. Further, the lower the returns, the more positive are ex-date returns and when-issued premiums. A possible explanation of these related phenomena is that trading hindrances associated with record dates create trading inconvenience that is reflected in lower prices near record dates. In turn, anomalous positive ex-date returns arise in part from the abnormally low prices of unsplit shares caused by the negative record date returns.

Date: 2001
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