Stock splits: Signaling or liquidity? The case of ADR 'solo-splits'

• 成果类型: Article
• 署名作者: Muscarella, CJ; Vetsuypens, MR
• 署名单位: Southern Methodist University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(95)00872-C
• 发表日期: 1996
• 页码: 3-26
• 关键词: STOCK SPLITS; liquidity; signaling; American depositary receipts

摘要

Stock splits should have no effect on firm value in perfect capital markets, yet stock prices increase on split announcements. The two traditional explanations are information signaling and improved liquidity for shares that trade at lower prices. We investigate these explanations by studying splits of American Depositary Receipts (ADRs) that are not associated with splits in their home-country stock, and which represent unique illustrations of the effect of liquidity. We interpret our findings as supportive of the liquidity explanation of stock split announcement effects.