DOES VOLATILITY DECREASE AFTER REVERSE STOCK SPLITS?
Published in The Journal of Financial Research • Jun 1, 2007
Authors:
Jennifer L. Koski
Abstract
Abstract Previous research documents that volatility decreases after reverse stock splits. I show that measurement effects bias observed volatility, especially for lower priced stocks. Based on observed returns, volatility decreases 25% after reverse splits. Controlling for bid–ask bounce, volatilit...
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