The Effects of Stock Splits on Bid‐Ask Spreads
研究纽约证券交易所上市公司股票拆分后买卖价差的变化，发现百分比价差扩大，给投资者带来流动性成本，且与股价下跌相关，可部分解释拆分后收益波动性增加。
ABSTRACT This paper examines the effects of stock splits on bid‐ask spreads for NYSE‐listed companies. Percentage spreads increase after splits, representing a liquidity cost to investors. These spread increases are directly related to decreases in share prices following splits and can explain part, but not all, of the observed increase in return variability after splits. The evidence thus suggests a liquidity cost of stock splits that must be weighed against any other perceived benefits of splits. Such a liquidity cost may validate that stock splits are a signal of favorable information about the firm.