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Bonus Issues, Share Splits and Ex-Day Share Price Behaviour: Australian Evidence

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  • Richard G. Sloan

    (The University of Western Australia.)

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.

Suggested Citation

  • Richard G. Sloan, 1987. "Bonus Issues, Share Splits and Ex-Day Share Price Behaviour: Australian Evidence," Australian Journal of Management, Australian School of Business, vol. 12(2), pages 277-291, December.
    • Handle: RePEc:sae:ausman:v:12:y:1987:i:2:p:277-291
    DOI: 10.1177/031289628701200208
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    References listed on IDEAS

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    1. Philip Brown & Terry Walter, 1986. "Ex-Dividend Day Behaviour of Australian Share Prices," Australian Journal of Management, Australian School of Business, vol. 11(2), pages 139-152, December.
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    Cited by:

    1. Karen Benson & Peter M Clarkson & Tom Smith & Irene Tutticci, 2015. "A review of accounting research in the Asia Pacific region," Australian Journal of Management, Australian School of Business, vol. 40(1), pages 36-88, February.
    2. Charles O. Manasseh & Chukwuka Kenneth Ozuzu & Jonathan E. Ogbuabor, 2016. "Semi Strong Form Efficiency Test of the Nigerian Stock Market: Evidence from Event Study Analysis of Bonus Issues," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1474-1490.

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