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Abnormal return on stock split-revisiting the evidence of Thailand during 2009-2018

by Sedthaporn Tosiriwatanapong; Thananporn Sethjinda; Nopphon Tangjitprom

Title:

Abnormal return on stock split-revisiting the evidence of Thailand during 2009-2018

Author(s):

Sedthaporn Tosiriwatanapong
Thananporn Sethjinda
Nopphon Tangjitprom

Issued date:

2020

Publisher:

Assumption University Press

Citation:

AU-GSB e-JOURNAL 13, 2 (December 2020), 24-37

Abstract:

An abnormal return on the stock split is one of the most prominent debates in the finance industry. Positive signaling and optimal trading range hypotheses are underlying principles that are commonly used to describe a positive market reaction to the stocksplit. This research paper focuses specifically on the market’s reactions by the announcement date of the stock split, applying firm size and price range to explore insightful connections. The samples are listed companies in the Stock Exchange of Thailand(MAI excluded) with a stock split from January 1, 2009, to December 31, 2018, aiming to capture data in all economic cycles. To examine positive abnormal returns around announcement date, the event-study-methodology is applied. The study indicates that average abnormal return (AAR) and cumulative average abnormal return (CAAR) are significantly positive during the announcement. Applying firm size in the study, the market tends to react more positively to small-size firms, likewise, low-price. The pieces ofevidence indicated that stocks responded more positively by reason of consciously or subconsciously anticipation to post-splits. The investors are able to apply the rationales and logic behind this corporate action to distinguish between fundamental changes and expectations for their investment decisions in financial markets.

Subject(s):

AU-GSB e-Journal
AU-GSB e-Journal -- 2020

Keyword(s):

Stock splits
Average abnormal return
Cumulative average abnormal return
Event study
Announcement date

Resource type:

Journal Article

Extent:

14 pages

Type:

Text

File type:

application/pdf

Language:

eng

Rights:

This work is protected by copyright. Reproduction or distribution of the work in any format is prohibited without written permission of the copyright owner.

Rights holder(s):

Assumption University

URI:

http://repository.au.edu/handle/6623004553/24280
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  • AU GSB: Vol. 13, No. 2 (December 2020) [10]


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Copyright © Assumption University.
All Rights Reserved.

Contact Us

The St. Gabriel's Library   
Hua Mak Campus  
Ramkhamhaeng 24, Hua Mak  
Bangkok Thailand 10240  
Tel.: (662) 3004543-62 Ext. 3402  
Fax.: (662) 7191544  
E-Mail Library : library@au.edu  


The Cathedral of Learning Library
Suvarnabhumi Campus
Bang Na-Trad Km. 26 Bangsaothong
Samuthprakarn Thailand 10540
Tel.: (662) 7232024, 7232025
Fax.: (662) 7191544
E-Mail Library : library@au.edu
 

 

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