Byun, Jinho; Rozeff, Michael S. - In: Journal of Finance 58 (2003) 3, pp. 1063-1086
We measure the postsplit performance of 12,747 stock splits from 1927 to 1996 using two methods to measure abnormal returns: size and book-to-market reference portfolios with bootstrapping, and calendar-time abnormal returns combined with factor models. Between 1927 and 1996, neither method...
