Record Date, When-Issued, and Ex-Date Effects in Stock Splits
研究发现股票拆分登记日附近出现约1%的负异常回报，且该负回报越大，除权日回报和发行前溢价越正，可能源于登记日交易不便导致价格偏低。
Negative abnormal stock returns of about 1% occur near record dates of stock splits. Fur? ther, the lower the returns, the more positive are ex-date returns and when-issued premi? ums. A possible explanation of these related phenomena is that trading hindrances asso? ciated with record dates create trading inconvenience that is reflected in lower prices near record dates. In turn, anomalous positive ex-date returns arise in part from the abnormally low prices of unsplit shares caused by the negative record date returns.