the valuation effects of stock splits and stock dividends（拆股和股票分红的估值效应）.pdfVIP

The Valuation Effects of Stock Splits and Stock Dividends Mark S. Grinblatt, Ronald W. Masulis and Sheridan Titman * University of California at Los Angeles July 1984 Forthcoming: Journal of Financial Economics 13 (1984) 461-490 Abstract: This study presents evidence which indicates that stock prices, on average, react positively to stock dividend and stock split announcements that are uncontaminated by other contemporaneous firm-specific announcements. In addition, it documents significantly positive excess returns on and around the ex-dates of stock dividends and splits. Both announcement and ex-date returns were found to be larger for stock dividends than for stock splits. While the announcement returns cannot be explained by forecasts of imminent increases in cash dividends, the paper offers several signalling based explanations for them. These are consistent with a cross- sectional analysis of the announcement period returns. * We wish to thank Harry DeAngelo, David Mayers, Maureen McNichols, Richard Roll and the referee, Eugene Fama, for discussions and comments on earlier drafts. Seminar participants at Columbia University, Southern Methodist University, Stanford University, University of California at Los Angeles, University of Southern California, University of Minnesota, University of Utah, and Yale University have also been helpful. The dedicated research assistance of Jim Brandon and financial support from the UCLA Foundation for Research in Financial Markets and Institutions and the Institute for Quantitative Research in Finance is gratefully acknowledged. Electronic copy available at: /abstract=995759 1. Introduction An important issue in corporate