Institutional Investors and the Information Production Theory of Stock Splits
利用机构交易数据检验股票拆分的信息生产理论，发现机构在拆分后通过交易获得超额收益，且公司信息不对称程度下降。
Abstract We make use of a large sample of transaction-level institutional trading data to test an extended version of Brennan and Hughes’ (1991) information production theory of stock splits. We compare brokerage commissions paid by institutional investors before and after a split, assess the private information held by them, and relate the informativeness of their trading to brokerage commissions paid. We show that institutions make abnormal profits net of brokerage commissions by trading in splitting stocks. We also show that the information asymmetry faced by firms goes down after stock splits. Overall, our empirical results support the information production theory.