Publication Date
1-1-2005
Document Type
Dissertation/Thesis
First Advisor
Banko, John C.
Degree Name
B.S. (Bachelor of Science)
Legacy Department
Department of Finance
Abstract
When the standard event study is expanded using the Fama and French factors in the regression analysis of the market reaction to a stock split, significant post-split excess returns are observed on the day of the announcement for smaller firms. Larger firms, on the other hand do not report significant returns. This suggests that smaller firms experience a greater reaction than larger firms. When separated by book-to-market quintiles, only the returns for value stocks were significant at the 1% level. This indicates that only value stocks are significantly affected by an announcement of a stock split.
Recommended Citation
Fernandes, Jennifer, "Regression Analysis of an Announcement of a Stock Split with Fama and French Factors" (2005). Honors Capstones. 950.
https://huskiecommons.lib.niu.edu/studentengagement-honorscapstones/950
Extent
16 unnumbered pages
Language
eng
Publisher
Northern Illinois University
Rights Statement
In Copyright
Rights Statement 2
NIU theses are protected by copyright. They may be viewed from Huskie Commons for any purpose, but reproduction or distribution in any format is prohibited without the written permission of the authors.
Media Type
Text
