Record Date, When-Issued, and Ex-DateEffects in Stock Splits

Abstract

Negative abnormal stock returns of about 1% occur nearrecord dates of stock splits. Further, the lower thereturns, the more positive are ex-date returns andwhen-issued premiums. A possible explanation ofthese related phenomena is that trading hindrancesassociated with record dates create tradinginconvenience that is reflected in lower prices nearrecord dates. In turn, anomalous positive ex-datereturns arise in part from the abnormally low pricesof unsplit shares caused by the negative record datereturns.