The effect of stock split announcements on stock prices : an empirical investigation for the Toronto Stock Exchange (TSX)

Abstract

This paper investigates the effect of stock split announcements on stock prices in the Toronto Stock Exchange (TSX). Unlike other papers, the short-term effect is only considered in this study. The results constructed on this paper, are that the abnormal returns are only existed in a very short period surrounding stock split events. On the other hand, there is no evidence suggested that the abnormal return will continue to exist in the long-run. However, the results of this paper are pretty much consistent with what Fama et al (1969) found. That is the abnormal returns will die out through the time.