One of the explanations offered for stock splits is that the split signals positive information by reducing the stock price range in expectation of improved future prospects. Price declines also lead to changes in the stock price dynamics but related securities are not subject to these other...

Using a unique proprietary account-level trading dataset in China, we investigate how active information acquisition alleviates price-based return comovement, a typical anomaly in stock splits. We find that: 1) individual trading drives the comovement and the trading correlation between split...