B. Ajinkya and P. Jain, The behavior of daily stock market trading volume, Journal of Accounting and Economics, vol.11, issue.4, pp.331-359, 1989.
DOI : 10.1016/0165-4101(89)90018-9

A. P. Bourghelle and D. , « Stock splits, liquidity and tick size: evidence from Paris bourse », working paper, 2001.

Y. -amihud and H. Mandelson, Liquidity and Asset Prices, Foundations and Trends?? in Finance, vol.1, issue.4, pp.5-15, 1988.
DOI : 10.1561/0500000003

J. J. Angel, Tick Size, Share Prices, and Stock Splits, The Journal of Finance, vol.12, issue.2, pp.655-681, 1997.
DOI : 10.2307/3665511

H. -baker and P. Gallagher, « Management's view of stock splits », Financial Management, n°9, pp.73-77, 1980.

B. Barber and J. Lyon, Detecting long-run abnormal stock returns: The empirical power and specification of test statistics, Journal of Financial Economics, vol.43, issue.3, pp.43-341, 1997.
DOI : 10.1016/S0304-405X(96)00890-2

C. Barker, « Stock splits in a bull market, Harvard Business Review, vol.35, pp.72-79, 1957.

M. Bartlett, Properties of Sufficiency and Statistical Tests, Properties of Sufficiency and Statistical Tests, pp.268-282, 1937.
DOI : 10.1098/rspa.1937.0109

S. -bar-yosef and L. Brown, « A re-examination of stock splits using moving betas », Journal of Finance, pp.1069-1080, 1977.

W. Beaver, The Information Content of Annual Earnings Announcements, Journal of Accounting Research, vol.6, pp.67-92, 1968.
DOI : 10.2307/2490070

K. -bechmann and J. Raaballe, « The differences between stock splits and stock dividends ? evidence from Danemark », working paper, 2004.

U. Bhattacharya and A. Dittmar, « Costless versus costly signaling in capital markets: theory and evidence », working paper, 2001.

F. Black and M. Scholes, The Pricing of Options and Corporate Liabilities, Journal of Political Economy, vol.81, issue.3, pp.81-637, 1973.
DOI : 10.1086/260062

R. -boehme, « Reexamining the long run stock split anomaly puzzle », working paper, 2001.

E. -boehmer, A. Poulsen, and J. Musumesci, Event-study methodology under conditions of event-induced variance, Journal of Financial Economics, vol.30, issue.2, pp.253-272, 1991.
DOI : 10.1016/0304-405X(91)90032-F

T. Bollerslev, Generalized autoregressive conditional heteroskedasticity, Generalized autoregressive conditional heteroskedasticity, pp.307-327, 1986.
DOI : 10.1016/0304-4076(86)90063-1

M. -brennan and P. Hughes, Stock Prices and the Supply of Information, The Journal of Finance, vol.37, issue.5, pp.1665-1691, 1991.
DOI : 10.1016/0304-405X(83)90027-2

M. -brennan and T. Copeland, Beta Changes around Stock Splits: A Note, The Journal of Finance, vol.5, issue.4, pp.1009-1013, 1988.
DOI : 10.1016/0304-405X(77)90041-1

M. -brennan and T. Copeland, Stock splits, stock prices, and transaction costs, Journal of Financial Economics, vol.22, issue.1, pp.83-101, 1988.
DOI : 10.1016/0304-405X(88)90023-2

J. Brocklebank and D. Dickey, « SAS for forecasting time series, 2003.

S. -brown and A. Fosythe, Robust Tests for the Equality of Variances, Journal of the American Statistical Association, vol.25, issue.3, pp.364-367, 1974.
DOI : 10.1214/aoms/1177698418

S. -brown, W. Goetzmann, and S. Ross, Survival, The Journal of Finance, vol.22, issue.Supplement, pp.853-873, 1995.
DOI : 10.1016/0304-3932(88)90172-9

S. -brown and J. Warner, Measuring security price performance, Journal of Financial Economics, vol.8, issue.3, pp.205-258, 1980.
DOI : 10.1016/0304-405X(80)90002-1

S. -brown and J. Warner, Using daily stock returns, Journal of Financial Economics, vol.14, issue.1, pp.3-31, 1985.
DOI : 10.1016/0304-405X(85)90042-X

G. -broye and A. Schatt, « Pourquoi certains actionnaires cèdent plus d'actions que d'autres lors de l'introduction en bourse?, Banque & Marchés, pp.65-94, 2003.

J. -byun and M. Rozeff, « Long run performance after stock splits, Journal of Finance, juin, pp.1063-1085, 1927.

M. -carhart, On Persistence in Mutual Fund Performance, The Journal of Finance, vol.19, issue.1, pp.57-82, 1997.
DOI : 10.2307/1924119

G. Charest, Dividend information, stock returns and market efficiency-II, Journal of Financial Economics, vol.6, issue.2-3, pp.297-330, 1978.
DOI : 10.1016/0304-405X(78)90033-8

G. Chow, Tests of Equality Between Sets of Coefficients in Two Linear Regressions, Econometrica, vol.28, issue.3, pp.3-591, 1960.
DOI : 10.2307/1910133

P. K. -clark, A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, Econometrica, vol.41, issue.1, pp.135-155, 1973.
DOI : 10.2307/1913889

R. Cody, « Cody's data cleaning techniques using SAS, 2008.

R. -conroy, R. Harris, and B. Benet, The Effects of Stock Splits on Bid-Ask Spreads, The Journal of Finance, vol.86, issue.4, pp.1285-1295, 1990.
DOI : 10.2307/1880494

T. -copeland, Liquidity Changes Following Stock Splits, Liquidity changes following stock splits, pp.115-141, 1979.
DOI : 10.2307/1880494

G. Constantinides, « Optimal stock trading range with personal taxes, Journal of Financial Economics, pp.65-89, 1984.
DOI : 10.1016/0304-405x(84)90032-1

W. -cready and R. Ramanan, The power of tests employing log-transformed volume in detecting abnormal trading, Journal of Accounting and Economics, vol.14, issue.2, pp.2-203, 1991.
DOI : 10.1016/0165-4101(91)90005-9

J. -dolly, Common stock split-ups motives and effects, Harvard Business Review, vol.12, pp.70-81, 1933.

J. -durbin and G. Watson, « Testing for serial correlation in least squares regression I. », Biometrika, n°37, pp.409-428, 1950.

J. -durbin and G. Watson, « Testing for serial correlation in least squares regression II, pp.159-179, 1951.

R. -engle, Autoregressive conditional heteroskedasticity with estimates of the variance of U.K inflation, Econometrica, pp.50-987, 1982.

E. -eckbo, V. Maksimovic, and J. Williams, Consistent Estimation of Cross-Sectional Models in Event Studies, Review of Financial Studies, vol.21, issue.3, pp.343-365, 1990.
DOI : 10.2307/1912557

A. Mcleod and L. W. , DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS, Journal of Time Series Analysis, vol.15, issue.4, pp.269-273, 1983.
DOI : 10.1214/aos/1176344687

M. -mcnichols and A. Dravid, Stock Dividends, Stock Splits, and Signaling, The Journal of Finance, vol.12, issue.3, pp.251-266, 1990.
DOI : 10.2307/3665511

A. -mcwilliams and D. Siegel, EVENT STUDIES IN MANAGEMENT RESEARCH: THEORETICAL AND EMPIRICAL ISSUES., Academy of Management Journal, vol.40, issue.3, pp.626-657, 1997.
DOI : 10.2307/257056

R. -merton, A Simple Model of Capital Market Equilibrium with Incomplete Information, The Journal of Finance, vol.40, issue.3, pp.3-483, 1987.
DOI : 10.2307/2327784

D. -morse, Asymetrical information in securities markets and trading volume, Journal of Financial and Quantitative Analysis, vol.15, pp.5-1129, 1980.

D. -morse, Price and trading volume reaction surrounding earnings announcements: a closer examination, Journal of Accounting Research, vol.19, pp.2-374, 1981.

D. Murray, FURTHER EVIDENCE ON THE LIQUIDITY EFFECTS OF STOCK SPLITS AND STOCK DIVIDENDS, Journal of Financial Research, vol.8, issue.1, pp.59-67, 1985.
DOI : 10.1111/j.1475-6803.1985.tb00426.x

S. -nayak and N. R. Prabhala, « Disentandling the dividend information in splits: a decomposition using conditional event-study methods, Rewiew of Financial Studies, pp.14-1083, 2001.

J. A. -ohlson and S. H. Penman, Volatility increases subsequent to stock splits: An empirical aberration, Journal of Financial Economics, vol.14, issue.2, pp.251-266, 1985.
DOI : 10.1016/0304-405X(85)90017-0

K. Palepu, Predicting takeover targets, Journal of Accounting and Economics, vol.8, issue.1, pp.3-35, 1986.
DOI : 10.1016/0165-4101(86)90008-X

N. R. -prabhala, « Conditional methods in event-studies and an equilibrium oriented justification for using standard event-study procedures, Review of Financial Studies, pp.10-11, 1997.