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- Title
A Note on the Behavior of Stock Returns around Ex-Dates of Stock Distributions.
- Authors
DRAVID, AJAY R.
- Abstract
This article extends the work of J.A. Ohlson and S. Penman to all types of stock distributions. The first section discusses post split variance that is shown to be different from the presplit variance for small stock splits and stock dividends. The evidence presented supports the conclusion that stock splits and stock dividends are different types of events. The second section investigates the volatility of returns for reverse splits and demonstrates that postsplit volatility decreases for these events. Evidence is presented that the variance of returns after the ex-date for large stock splits is significantly higher than the variance prior to the ex-date. The change in the volatility for stock dividends is also found to be opposite to that for splits.
- Subjects
STOCK prices; STOCK splitting; RATE of return; STOCK transfer; RATE of return on stocks; DIVIDENDS; STOCK exchanges; EARNINGS per share; MARKET volatility; EXPECTED returns
- Publication
Journal of Finance (Wiley-Blackwell), 1987, Vol 42, Issue 1, p163
- ISSN
0022-1082
- Publication type
Article
- DOI
10.1111/j.1540-6261.1987.tb02558.x