Desai, Anand S.; Nimalendran, M.; Venkataraman, S. - In: Journal of Financial Research 21 (1998) 2, pp. 159-183
We examine changes in trading activity around stock splits and their effect on volatility and the adverse-information component of the bid-ask spread. Even after controlling for microstructure biases, we find a significant increase in volatility after the split. Changes in total volatility and...