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- Title
Beta Changes around Stock Splits: A Note.
- Authors
BRENNAN, M. J.; COPELAND, T. E.
- Abstract
This article discusses research that examined information on the anomalous behavior of the return distribution of stocks, which extends to the beta coefficient. The authors claim to have identified a temporary increase in the average beta of stocks on both the split-announcement date and the date the split becomes effective. In addition, they found a permanent increase in the beta following the ex-date. They note that these results are not consistent with received theory, which indicates that the split itself would have no effect on the risk of the stock.
- Subjects
PRICES of securities; INVESTMENT analysis; BETA (Finance); SECURITIES; RATE of return; CAPITAL investments; EARNINGS per share; STOCK transfer; STOCK prices; BUSINESS announcements; STOCK splitting; FINANCIAL performance; ECONOMICS
- Publication
Journal of Finance (Wiley-Blackwell), 1988, Vol 43, Issue 4, p1009
- ISSN
0022-1082
- Publication type
Article
- DOI
10.1111/j.1540-6261.1988.tb02618.x