Measurement Effects and the Variance of Returns After Stock Splits and Stock Dividends
研究买卖价差和价格离散度对股票拆分及股利除权后收益方差增加的影响，发现控制这些因素后方差仍显著上升，且价差误差无法解释该现象。
This article examines the relation between two factors affecting stock returns, the bid-ask spread and price discreteness, and the increase in return variance after ex-dates of stock splits and stock dividends. Controlling for these effects, the variance of daily returns still increases significantly. The variance of weekly returns also increases significantly, and the variance of returns for a control sample of nonsplitting firms shows no significant increase. Variance ratio tests show that bid-ask errors are small for these stocks and therefore cannot explain the large increase in variance. Spreads and price discreteness do not explain increased variance after stock distributions.