Signaling through timing of stock splits
构建了一个股票拆分的动态结构模型，管理者通过拆分决策的时机传递私有信息，解释了拆分公告回报随拆分前股价下降的现象，并估计了投资者的名义股价偏好。
We develop a dynamic structural model of stock splits, in which managers signal their private information through the timing of the split decisions. Our approach is consistent with the empirical evidence which shows that the majority of stock splits have a 2:1 ratio of old-to-new shares, but are announced at various pre-split price levels. Moreover, it explains why split announcement returns are decreasing with the pre-split price. In addition, by matching the model to the data, we estimate the nominal share price preferences of investors and decompose the split announcement return into the value of new information and the signalling cost.