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Valuation effects of Canadian stock split announcements

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  • Kryzanowski, Lawrence
  • Zhang, Hao

Abstract

The abnormal returns for two types of announcement dates are examined for a large sample of stock splits on the Toronto Stock Exchange (TSE). The mean abnormal return is positive and statistically significant for the split proposal announcement date, and positive and not statistically significant for the split approval date. These findings are not only consistent with those found for stock splits in the United States [Grinblatt, Masulis and Titman (1984)], but are also robust to various thin-trading autocorrelation and heteroscedasticity adjustments, and the exclusion of splitting stocks which are interlisted on non-Canadian stock markets.

Suggested Citation

  • Kryzanowski, Lawrence & Zhang, Hao, 1991. "Valuation effects of Canadian stock split announcements," Economics Letters, Elsevier, vol. 36(3), pages 317-322.
    • Handle: RePEc:eee:ecolet:v:36:y:1991:i:3:p:317-322
    DOI: 10.1016/0165-1765(91)90040-R
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    1. Yagüe, José & Gómez-Sala, J. Carlos & Poveda-Fuentes, Francisco, 2009. "Stock split size, signaling and earnings management: Evidence from the Spanish market," Global Finance Journal, Elsevier, vol. 20(1), pages 31-47.
    2. Cahit Adaoglu & Meziane Lasfer, 2011. "Why Do Companies Pay Stock Dividends? The Case of Bonus Distributions in an Inflationary Environment," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 38(5-6), pages 601-627, June.
    3. Kryzanowski, Lawrence & Zhang, Hao, 1995. "Introduction of dual-class shares: Further evidence on Canadian pro-rata distributions," International Review of Financial Analysis, Elsevier, vol. 4(1), pages 67-79.
    4. Leledakis, George N. & Papaioannou, George J. & Travlos, Nickolaos G. & Tsangarakis, Nickolaos V., 2009. "Stock splits in a neutral transaction cost environment: Evidence from the Athens Stock Exchange," Journal of Multinational Financial Management, Elsevier, vol. 19(1), pages 12-25, February.

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