Kalotychou, Elena; Staikouras, Sotiris K.; Zagonov, Maxim - In: Journal of International Financial Markets, … 19 (2009) 3, pp. 534-549
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...
