Finanse, Rynki Finansowe, Ubezpieczenia

Previously: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia

ISSN: 2450-7741     eISSN: 2300-4460    OAI    DOI: 10.18276/frfu.2017.86-09
CC BY-SA   Open Access 

Issue archive / 2/2017 (86)
Długoterminowe reakcje cenowe na podziały akcji na Giełdzie Papierów Wartościowych w Warszawie

Authors: Adam Zaremba
Uniwersytet Ekonomiczny w Poznaniu

Szymon Okoń
Uniwersytet Ekonomiczny w Poznaniu
Keywords: calendar portfolios WSE Warsaw Stock Exchange stock splits Polish stock market long-term performance event study
Year of publication:2017
Page range:12 (111-122)
Cited-by (Crossref) ?:


Purpose – The aim of this paper is to investigate the long-term performance following stock splits on the Warsaw Stock Exchange. Design/Methodology/approach – The study is based on stock splits conducted on the Warsaw Stock Exchange within years 1996-2015. We formed equal-weighted and capitalization-weighted calendar portfolios with various sorting periods ranging 1-8 years and evaluated their performance with the CAPM and the four-factor model by Carhart (1997). Findings – We observed no significant abnormal returns and the results are robust to the changes of weighting methods or sorting periods. The examined calendar portfolios displayed significant exposure to the SMB factor. It indicates that the stock splits are largely concentrated in small-cap companies. Originality/value – This is the first comprehensive study of the post-split long-term performance on the Warsaw Stock Exchange.
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