publication . Preprint . 2001

Market Structure and Stock Splits

David Michayluk; Paul Kofman;
Open Access
  • Published: 01 Jul 2001
Abstract
Enhanced liquidity is one possible motivation for stock splits but empirical research frequently documents declines in liquidity following stock splits. Despite almost thirty years of inquiry, little is known about all the changes in a stock's trading activity following a stock split. We examine how liquidity measures change around more than 2,500 stock splits and find a pervasive decline in most measures. Large stock splits exhibit a more severe liquidity decline than small stock splits, especially on Nasdaq. We also examine a longer time period around stock splits and find that the differences between small and large stocks may be short-lived. Following the 19...

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