How Stock Splits Affect Trading: A Microstructure Approach

By David A. Easley, Maureen O’Hara, Gideon Saar. Journal of Financial and Quantitative Analysis, 2001

263 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/5bf3435eb6f0b77712c4a469a9e64592d9e674b8

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Citations in the corpus

Stock splits, trading continuity, and the cost of equity capital☆ (2009, background): “Further, Easley, O’Hara, and Saar (2001) document more uninformed trades—and more informed trades as well—after stock splits.2 More uninformed trading allows market makers to reduce their inventory holding costs and adverse information cost, which could lead to lower trading costs and liquidity…”
Time-Varying Arrival Rates of Informed and Uninformed Trades (2007, background): “Examples include Easley, Kiefer, and O’Hara (1996), Easley et al. (1996), Easley, O’Hara, and Paperman (1998), Easley, Hvidkjaer, and O’Hara (2002, 2005), Dennis and Weston (2001), Easley, O’Hara, and Saar (2001), Vega (2005).”
The Role of Stock Liquidity in Executive Compensation (2012, unknown): “Our second supporting test uses stock-splits as an event that results in increases in stock liquidity without any associated change in firms’ underlying fundamentals (e.g., Maloney and Mulherin 1992; Easley et al. 2001).”
Liquidity Cycles and Make/Take Fees in Electronic Markets (2013, unknown): “Proof of Corollary 7: Using equation ( 30 ) in the proof of Proposition 2, we deduce”
Are Liquidity and Information Risks Priced in the Treasury Bond Market (2009, methodology): “…model has been shown to be very effective in capturing the process of a market maker’s learning about private information from trades.14 The model has been successfully implemented in previous studies (e.g., Easley et al., 1997a, 1997b, 1998, 2001) to address many important microstructure issues.”
Nominal price illusion (2016, methodology): “Definition of variables Variable name Description Price Stock price at the end of month t-1 Log (Price) Natural log of stock price at the end of month t-1 Beta Calculated using monthly return data over the past 5 years, following Fama and French (1992) Log (Size) Size is the product of stock price a”