Die Einführung der 5-DM-Aktie - Ein Testfall für die Untersuchung der Mikrostruktur von Aktienmärkten

Pure Stock Splits in Germany - New Evidence Regarding the Microstructure of Stock Markets It was the aim of this paper to analyze price reactions following a pure stock split in Germany. First we argued that this price reactions should not be explained by a conventional signaling model. Thereafter it was shown that stock price reactions can be modelled within a simple dynamic price-liquidity-model. The results of this theoretical considerations lead us to the following hypotheses. The announcement of a stock split should have no statistically significant price reaction. This should also be true for the ex-date. However, a stock split will cause a perceptible increase in the volatility of stock prices, while the market risk of stocks should be unchanged. These three hypotheses were corroborated by the empirical investigation. Therefore, the results partly reveal a discrepancy to several studies from the US. Moreover, these findings might be important as far as the efficient organization of a stock exchange is concerned