Bonus Issues, Share Splits and Ex-Day Share Price Behaviour: Australian Evidence

Richard G. Sloan
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Richard G. Sloan: The University of Western Australia.

Australian Journal of Management, 1987, vol. 12, issue 2, 277-291

Abstract: A number of recent U.S. studies have documented positive abnormal returns on, and in the period immediately surrounding, the day stocks trade “ex†stock dividends and splits. This paper investigates return behaviour on and around the ex-days of similar Australian capitalisation changes. Using daily transaction prices for a sample of Australian bonus issues and share splits, the U.S. findings of positive abnormal returns on the ex-day itself are not confirmed. However, on extending the sample to include “buy-sell†quote estimates of share prices, positive abnormal ex-day returns appear. Possible explanations for these results are considered.

Keywords: BONUS ISSUE; BOOTSTRAP; BUY-SELL SPREAD; EX-DAY; SHARE SPLIT (search for similar items in EconPapers)
Date: 1987
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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:12:y:1987:i:2:p:277-291

DOI: 10.1177/031289628701200208

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