Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 16, 2015 erstellt
Description:
We show that three proxies for stock price informativeness, adjusted probability of information based trading (AdjPIN), price non-synchronicity and probability of information-based trading (PIN), decrease significantly due to an enlarged investor base after stock splits. The results are supportive to the risk sharing hypothesis proposed by Peress (2010) who argues that investors are less incentivized to gather firm specific information when firms investor base expands. Furthermore, we find that the change of the price informativeness around splits is negatively related to the magnitude of positive return drifts following splits. This result is consistent with the notion that less information produced and incorporated in stock prices results in a sluggish response by the market to corporate events