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Studies in Economics and Econometrics Volume 18, 1994 - Issue 1
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Articles

The Market Reaction to Stock Splits: A New Look

N Biger* Department of Business, University of Haifa, Haifa, Israel and Graduate School of Business, University of Cape Town, Republic of South Africa.
&
M J Page* Department of Business, University of Haifa, Haifa, Israel and Graduate School of Business, University of Cape Town, Republic of South Africa.
Pages 1-14 | Published online: 28 Jan 2022

References

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  • Basu, S (1983): “The Relationship between Earning’s Yield, Market Value and Return for NYSE Common Stocks”, Journal of Financial Economics, 12, 129–156.
  • Berges, A (1982): Arbitrage Pricing Theory: Estimation and Application, Unpublished PhD Dissertation, Purdue University.
  • Biger, N and Page, MJ (1992): “The Market Reaction to Stock Splits: Recent JSE Experience”, Journal for Studies in Economics and Econometrics, 16(3), 1–15.
  • Biger, N and Page, MJ (1993): “Unit Trust’s Performance: Does the Yardstick Matter?”, Journal for Studies in Economics and Econometrics, 17(1), 1–15.
  • Bradfield, DJ and Barr GDI (1989): “Risk Estimation in the Thinly-traded JSE Environment”, South African Journal of Business Management, 20, 169–173.
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  • Fama, EF and French, KR (1992): “The Cross-Section of Expected Stock Returns”, Journal of Finance, 47(2), 427–465.
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  • Oldfield, GS and Rogalski, RJ (1981): “Treasury Bill Factors and Common Stock Returns”, Journal of Finance, 36(2), 337–350.
  • Page, MJ (1993): “Power of the Multivariate Tests of the Arbitrage Pricing Theory”, Working Paper 93–1, Graduate School of Business, University of Cape Town.
  • Reinganum, MR (1981): “Misspecification of Capital Asset Pricing: Empirical Anomalies based on Earnings Yields and Market Values”, Journal of Financial Economics, 9, 19–46.
  • Roll, R and Ross, SA (1980): “An Empirical Investigation into the Arbitrage Pricing Theory”, Journal of Finance, 35(5), 1073–1103.
  • Sheikh, AM (1989): “Stock Splits, Volatility Increase, and implied Volatility”, The Journal of Finance, 44(5), 1361–1372.

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