Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14279/14691
Title: | The UK equity market around the ex-split date | Authors: | Kalotychou, Elena Staikouras, Sotiris K. Zagonov, Maxim |
Major Field of Science: | Social Sciences | Field Category: | Economics and Business | Keywords: | Equity abnormal returns;Ex-split date;Stock market volatility;Stock splits | Issue Date: | Jul-2009 | Source: | Journal of International Financial Markets, Institutions and Money, vol. 19, no. 3, pp. 534-549 | Volume: | 19 | Issue: | 3 | Start page: | 534 | End page: | 549 | Journal: | Journal of International Financial Markets, Institutions and Money | Abstract: | Using UK stock market data this study unveils positive abnormal returns on and around the ex-split date. These excess returns are partially predictable using the publicly available information prior to the ex-split date. There is also a persistent increase in the post-split volatility of these stocks with the results being robust to the choice of the volatility proxy. Post-split volatility is found to be positively related to trading activity. Contrary to the US findings, volatility dynamics following the stock split are better captured by changes in the daily trading volume rather than by the number of trades. | URI: | https://hdl.handle.net/20.500.14279/14691 | ISSN: | 10424431 | DOI: | 10.1016/j.intfin.2008.07.001 | Rights: | © Elsevier | Type: | Article | Affiliation : | City, University of London | Publication Type: | Peer Reviewed |
Appears in Collections: | Άρθρα/Articles |
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