Event study on stock splits

Abstract

The main idea of this study is to test the effect in stock returns of the stock splits and reverse stock splits in US 
market. If the signaling hypothesis holds, abnormal returns should be detected around both stock splits 
announcement dates. Positive abnormal returns would imply that investors are regarding stock splits as favorable 
information about the company and vice versa. The study is also connected with efficient market hypothesis. It 
tries to identify whether the market reacts in time of announcement of the corporate action and adjusts the prices 
according to that specific action.