Bonus Issues, Share Splits and Ex-Day Share Price Behaviour: Australian Evidence
- 1 December 1987
- journal article
- research article
- Published by SAGE Publications in Australian Journal of Management
- Vol. 12 (2) , 277-291
- https://doi.org/10.1177/031289628701200208
Abstract
A number of recent U.S. studies have documented positive abnormal returns on, and in the period immediately surrounding, the day stocks trade “ex” stock dividends and splits. This paper investigates return behaviour on and around the ex-days of similar Australian capitalisation changes. Using daily transaction prices for a sample of Australian bonus issues and share splits, the U.S. findings of positive abnormal returns on the ex-day itself are not confirmed. However, on extending the sample to include “buy-sell” quote estimates of share prices, positive abnormal ex-day returns appear. Possible explanations for these results are considered.Keywords
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