RT Journal Article
SR Electronic
T1 Excess Returns, Stock Splits, and Analyst Earnings Forecasts
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 70
OP 76
DO 10.3905/jpm.1999.319733
VO 25
IS 2
A1 Jia Ye
YR 1999
UL https://pm-research.com/content/25/2/70.abstract
AB The author documents a significant “attention” effect associated with stock splits. Analysts tend to be relatively pessimistic about the earnings prospects of splitting firms as compared to non-splitting firms. Managers may use stock splits to attract the attention of analysts, and as a result, earnings forecast may become more accurate. Because of this “attention” effect, stock split information can be used to predict earnings surprises and earning forecast accuracy. The author shows that simple trading rules may be formulated based on such a special feature of stock splits to achieve superior investment returns.