Table 3 Cross sectional regressions to explain abnormal announcement returns 1 2FDdummyi 4Prepricei 5Leakagei 7Sizei 8Divdendi CAR = + +3Splitfactori + + +6Runupi+ + +9ΔDivdendi +εi (1) ***, **, and * denote significant at the 1%, 5%, and 10 % levels, respectively. (cumulative abnormal returns) over a 3-day window (days -1,0,and 1) are regressed on explanatory variables. CAR A dummy variable, equals 1 for split event after Reg FD adoption, 0 for split event before Reg FD adoption. FDdummy, is the number of outstanding shares of stock after the stock split divided by the number of shares before the stock split. Splitfactor is the natural logarithm of market value of the firm 10 trading days prior to the split. Size is pre split share price 7 trading days before the split. Preprice is the proportional price change from 7 days before the split to 3 days prior to the split announcement. Leakage is the proportional price change from 120 days before the split to 8 days prior to the split announcement. Runup is the market return estimated by the CRSP value-weighted return index. Mret is dividends per share adjusted for stock splits and dividends (Compustat data26) at the split announcement year divided by Dividend earnings per share (Compustat data58/data27). is the change in dividends from the year prior to the split to the split announcement year divided by split-adjusted earnings per ΔDividend share at the end of the year prior to the split.
Table 3 Cross sectional regressions to explain abnormal announcement returns CAR = 1 + 2FDdummyi +3Splitfactori + 4Prepricei + 5Leakagei +6Runupi+ 7Sizei + 8Divdendi +9ΔDivdendi +εi (1) ***, **, and * denote significant at the 1%, 5%, and 10 % levels, respectively. CAR (cumulative abnormal returns) over a 3-day window (days -1,0,and 1) are regressed on explanatory variables. A dummy variable, FDdummy, equals 1 for split event after Reg FD adoption, 0 for split event before Reg FD adoption. Splitfactor is the number of outstanding shares of stock after the stock split divided by the number of shares before the stock split. Size is the natural logarithm of market value of the firm 10 trading days prior to the split. Preprice is pre split share price 7 trading days before the split. Leakage is the proportional price change from 7 days before the split to 3 days prior to the split announcement. Runup is the proportional price change from 120 days before the split to 8 days prior to the split announcement. Mret is the market return estimated by the CRSP value-weighted return index. Dividend is dividends per share adjusted for stock splits and dividends (Compustat data26) at the split announcement year divided by earnings per share (Compustat data58/data27). ΔDividend is the change in dividends from the year prior to the split to the split announcement year divided by split-adjusted earnings per share at the end of the year prior to the split.
024-PB_stock%20split%20March%2011%202012.docx