Another January effect-Evidence from stock split announcements

Beladi, H, Chao, C and Hu, M 2016, 'Another January effect-Evidence from stock split announcements', International Review of Financial Analysis, vol. 44, pp. 123-138.


Document type: Journal Article
Collection: Journal Articles

Title Another January effect-Evidence from stock split announcements
Author(s) Beladi, H
Chao, C
Hu, M
Year 2016
Journal name International Review of Financial Analysis
Volume number 44
Start page 123
End page 138
Total pages 16
Publisher Elsevier BV
Abstract This paper examines whether there is a January effect in the propensity and abnormal returns of stock split announcements. It provides primary evidence in the investigation of using monthly effects to explain the patterns of stock splits. The results show that the January effect exists in the likelihood of the occurrence of share splits and in the associated short-term abnormal returns. We also find that another monthly effect-the Halloween effect-exists in stock split announcements. However, the January effect has a much larger and considerably more significant impact on the probability and returns of these announcements. The results of this paper shed light on why we observe patterns in the announcement of corporate events.
Subject Banking, Finance and Investment not elsewhere classified
Keyword(s) G11
G12
G14
Stock splits
The Halloween effect
The January effect
DOI - identifier 10.1016/j.irfa.2016.01.007
Copyright notice © 2016 Elsevier Inc.
ISSN 1057-5219
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