Q Group Melbourne Lunchtime Presentation

Topic Details: Prior research shows that splitting firms earn positive abnormal returns and that they experience an increase in stock return volatility. By examining option-implied volatility, we assess option traders’ perceptions on return and volatility changes arising from stock splits. We find that they do expect higher volatility following splits. There is only weak evidence though of option traders anticipating an abnormal increase in stock prices. We also show that our option measures can predict both stock volatility levels and changes after the announcement. However, there is little evidence that they can predict the returns of splitting firms.

RSVP: andrew.gruskin@omegagi.com

About the presenter:

Philip is a Senior Lecturer in Finance at Monash University. He joined Monash in 2006. He is an investments researcher and his main research area is asset pricing. In asset pricing, he has focused on the performance of multifactor models, stock market anomalies, the consumption CAPM and the intertemporal CAPM. He has also written papers on default risk analysis, funds management and socially responsible investments. A recent area of interest is the market reaction to corporate actions and informed trading. He has won awards for conference papers presented at the Australasian Finance and Banking Conference and at the AFAANZ Conference. His five completed PhD students are placed across universities in Australia, Singapore and Hong Kong. His research has been published in a wide range of journals and books spanning finance, accounting, economics, management and statistics, including papers in the Journal of Financial and Quantitative Analysis (forthcoming) and the Journal of Banking and Finance.