Nayar, Nandkumar; Rozeff, Michael S. - In: Journal of Financial and Quantitative Analysis 36 (2001) 01, pp. 119-139
Negative abnormal stock returns of about 1% occur near record dates of stock splits. Further, the lower the returns, the more positive are ex-date returns and when-issued premiums. A possible explanation of these related phenomena is that trading hindrances associated with record dates create...