How Stock Splits Affect Trading: A Microstructure Approach
利用微观结构方法研究股票拆分对交易的影响，发现拆分吸引了不知情交易者，但知情交易也增加，未减少信息不对称；拆分增加了限价单交易，但市场订单成本上升，导致不知情投资者总交易成本增加。
Extending an empirical technique developed in Easley, Kiefer, and O'Hara (1996), (1997a), we examine different hypotheses about stock splits. In line with the trading range hypothesis, we find that stock splits attract uninformed traders. However, we also find that informed trading increases, resulting in no appreciable change in the information content of trades. Therefore, we do not find evidence consistent with the hypothesis that stock splits reduce information asymmetries. The optimal tick size hypothesis predicts that stock splits attract limit order trading and this enhances the execution quality of trades. While we find an increase in the number of executed limit orders, their effect is overshadowed by the increase in the costs of executing market orders due to the larger percentage spreads. On balance, the uninformed investors' overall trading costs rise after stock splits.