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Authors
Affiliations
1 Atmiya Institute of Technology and Science (MBA Program), Rajkot, IN
2 Department of Business Management (MBA Program), Saurashtra University, Rajkot, IN
Source
Parikalpana: KIIT Journal of Management, Vol 8 (2012), Pagination: 45-54
Abstract
Stock market has its own marvels. Fundamental and technical analyses on one hand, help market participants to be predicatively able, On the other hand, random walk theory stresses upon wondering nature of stock prices. It is always an area of interest for researchers to map the impact of publically available information on stock prices and to find the median point between these two extremes.
In this context, this study attempts to analyze the impact of stock split made by BSE - 100 companies on their share prices. The researchers used phenomenon of excess return to map such impact. Excess returns were computed by taking two different models (Market Beta Model and CAPM) for two windows of before and after the event time. Then, the significance of differences was mapped by using paired T-test.
From the investors' view point, stock split in straight line does not result into gain. In this regard, the attempt is made to address the question whether stocks are able to generate excess returns ensuing to stock split.
Keywords
Stock Split, Excess Returns, Market Beta Model, CAPM.
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