Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/wiley/volatility-increases-subsequent-to-nyse-and-amex-stock-splits-BEucSgCNEF
References (19)
-
C. Ball (1988)
Estimation Bias Induced by Discrete Security PricesJournal of Finance, 43
-
Black Black (1986)
NoiseJournal of Finance, 41
-
Josef Lakonishok, B. Lev (1987)
Stock Splits and Stock Dividends: Why, Who, and WhenJournal of Finance, 42
-
James Ohlson, S. Penman (1985)
Volatility increases subsequent to stock splits: An empirical aberrationJournal of Financial Economics, 14
-
Jonathan Karpoff (1987)
The Relation between Price Changes and Trading Volume: A SurveyJournal of Financial and Quantitative Analysis, 22
-
T. Ho, R. Schwartz, David Whitcomb (1985)
The Trading Decision and Market Clearing under Transaction Price UncertaintyJournal of Finance, 40
-
Richard Roll (1984)
A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient MarketJournal of Finance, 39
-
Gary Gottlieb, A. Kalay (1985)
Implications of the Discreteness of Observed Stock PricesJournal of Finance, 40
-
Joel Hasbrouck (1988)
Trades, quotes, inventories, and informationJournal of Financial Economics, 22
-
Gerald Blum, William Kracaw, Wilbur Lewellen (1986)
DETERMINANTS OF THE EXECUTION COSTS OF COMMON STOCK TRADES BY INDIVIDUAL INVESTORSJournal of Financial Research, 9
-
Robert Holthausen, R. Leftwich, D. Mayers (1987)
The effect of large block transactions on security prices: A cross-sectional analysisJournal of Financial Economics, 19
-
A. Dravid (1987)
A Note on the Behavior of Stock Returns around Ex‐Dates of Stock DistributionsJournal of Finance, 42
-
Holthousen Holthousen, Richard Richard, David David (1987)
The effect of large block transactions on security pricesJournal of Financial Economics, 19
-
Y. Amihud, H. Mendelson (1986)
Asset pricing and the bid-ask spreadJournal of Financial Economics, 17
-
Y. Amihud, H. Mendelson (1987)
Trading Mechanisms and Stock Returns: An Empirical InvestigationJournal of Finance, 42
-
Maureen O'Hara, George Oldfield (1986)
The Microeconomics of Market MakingJournal of Financial and Quantitative Analysis, 21
-
T. Copeland (1979)
Liquidity Changes Following Stock SplitsJournal of Finance, 34
-
S. Berkowitz, D. Logue, Eugene Noser (1988)
The Total Cost of Transactions on the NYSEJournal of Finance, 43
-
M. Brennan, T. Copeland (1988)
Beta Changes around Stock Splits: A NoteJournal of Finance, 43
- Publisher
- Wiley
- Copyright
- 1991 The American Finance Association
- ISSN
- 0022-1082
- eISSN
- 1540-6261
- DOI
- 10.1111/j.1540-6261.1991.tb03759.x
- Publisher site
- See Article on Publisher Site
Abstract
ABSTRACT The post‐split increase in daily returns volatility is less for AMEX stocks than for NYSE stocks. The exchange trading location is a significant factor in explaining the volatility shift even after stock price and firm size are considered. Furthermore, when measured on a weekly basis, there is no increase in AMEX stocks' returns volatility. These results suggest that measurement errors created by bid‐ask spreads and the 1/8 effect, and also one or more of the elements that make the NYSE different from the AMEX, explain why the estimated volatility of daily stock returns increases after the ex split date.
Journal
The Journal of Finance – Wiley
Published: Mar 1, 1991