Stock splits on the Athens Stock exchange

Abstract

This study is based on a sample of stock splits initiated by Greek firms between January 1st 1999 and April 30th 2006. We investigate the price reaction to Greek stock splits by applying the “market model methodology” as described in Brown and Warner (1985). Moreover, a cross- sectional analysis is presented so as to identify the factors that can explain any abnormal stock returns around split announcement. The rest of this study is organized as follows. Section 2 describes the institutional aspects that apply to stock splits on the ASE and also a definition of stock splits is given. Section 3 describes the various hypotheses about stock splits. Section 4 reviews the literature. Section 5 presents the data of this study. Section 6 presents the methodology. In Section 7 the empirical results are discussed. In section 8 a cross sectional analysis is presented. In Section 9 the cross-sectional results are presented. Finally, in Section 10 this study is summarized and the conclusions are drawn.