Document Type


Degree Name

Doctor of Philosophy (PhD)



Program Name/Specialization

Financial Economics


Lazaridis School of Business and Economics

First Advisor

Andriy Shkilko

Advisor Role



The first essay tests the split signaling hypothesis by examining the reaction of sophisticated investors to stock split announcements. Return-based tests of signaling used in earlier studies produce conflicting results and have been criticized as unreliable. I bypass this criticism by focusing on long-term post-split behavior of short sellers who are generally recognized as sophisticated investors. Upon controlling for alternative hypotheses and conventional short selling determinants, I show that short interest permanently declines in reaction to split announcements. Furthermore, consistent with signaling, the degree of the decline is positively related to signal strength and to the splitter’s level of information asymmetry. Overall, the results are consistent with the view that firms use stock splits to relay positive value-relevant signals.

The second essay shows that the return predictability associated with retail trades cannot be attributed to insider trades, as hypothesized by Kaniel, Liu, Saar, and Titman (2012). Retail purchases predict future abnormal returns, and the effect is amplified around insider purchases. Similar results do not hold for insider sales. The results are consistent with retail investors trading on primarily positive price-relevant information that overlaps with insider information sets. The shared information appears to be of at least a medium-term nature. The results cannot be explained by retail traders selectively mimicking insider trades.

The third essay analyzes the role of retail traders in stock pricing around quarterly earnings announcements using a comprehensive and recent dataset. The data show that retail trading activity predicts future earnings surprises, earnings announcement returns, and medium-term post-earnings announcement returns. These results are not driven by insider trades prior to earnings announcements. Most results are neither driven by individuals trading on the last day prior to earnings announcements, potentially including a group of hackers. Overall, the results are consistent with retail investors trading on price-relevant information.

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Convocation Season