Market Reaction to Stock Splits Announcement–An Analysis of Abnormal Returns
Dr. Prabhakar Rane *, Associate Professor, G. V. M’ S G. G. P. R. College of Com. & Eco, Farmagudi, Ponda.
Manuscript received on November 11, 2019. | Revised Manuscript received on November 20 2019. | Manuscript published on 30 November, 2019. | PP: 11708-11713 | Volume-8 Issue-4, November 2019. | Retrieval Number: D4268118419/2019©BEIESP | DOI: 10.35940/ijrte.D4268.118419
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© The Authors. Blue Eyes Intelligence Engineering and Sciences Publication (BEIESP). This is an open access article under the CC-BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)
Abstract: The purpose “of the paper is to analyze and interpret the effect of stock splits announcement on the stock price in the Indian context. The sample size of the paper includes 86 initial stock splits events of listed companies announced during the period from 1998 to 2013. For the study, the daily actual returns for the company and for the NSE Nifty Index are calculated to employ regression model to estimate the expected returns to ascertain the abnormal returns for 91 days window period. A large sample t – test has been conducted to test whether abnormal returns from the stock splits announcement are statistically significant. The study finds that the market reacts to the stock splits announcement negatively” in the Indian context.
Keywords: Stock Splits, Abnormal Returns, Expected Returns, Company and Index.
Scope of the Article: Marketing and Social Sciences.