Are Stock Splits Credible Signals? Evidence from Short-Interest Data
用卖空比率变化衡量公司事件的信号强度，发现股票拆分公告后卖空比率并未下降，表明典型拆分不传递正面信号，但业绩好的公司拆分后卖空比率下降，而流动性改善的公司卖空比率上升。
We propose the change in short interest as a new metric of the signaling strength of a corporate event. If an event signals positive information, short interest should decline at the event announcement. We study short interest around stock split announcements made by NYSE firms during 1990-94. Short interest does not decline around stock splits, which suggests that the typical split does not convey a positive signal. However, short interest declines for the subset of the sample characterized by favorable industry-adjusted pre-split performance. Short interest increases significantly for firms that experience post-split liquidity improvements.