The determinants of abnormal returns during stock splits.

This thesis studies how stock splits on the Nasdaq Composite Index between 2001-2019 affect the abnormal returns around the announcement day. Furthermore, it also examines which factors may explain the abnormal returns. Four hypotheses are constructed and then tested by using an event study and a regression model. The result from the event study shows significant abnormal returns of 2.24% in a 7-days period, and 2.64% in a 11-days period. The results also suggest that liquidity has a significant negative effect on the abnormal return for firms with low market value. This implies that US firms of low liquidity, high levels of asymmetric information, and low market value have higher positive abnormal returns around the stock splits than those firms of high liquidity, low levels of asymmetric information, and high market value. Thus suggesting that liquidity can proxy information asymmetry. The results, however, show no support for the effect of split factors on the abnormal returns