This work develops a hybrid model of structural equations able to take
simultaneously the hypotheses of signaling, liquidity, and optimal price
level to explain the reaction to the stock dividends and stock splits. In
the measurement model four constructs were defined: trading activity,
spread, size, and price. The structural model defines extant relations from
the proposition of 22 sub-hypotheses. A sample of 321 splits performed in
the Brazilian market between 1990 and 2004 was used for assessing the model.
Confirmatory factor analysis revealed the validity and coherence of the four
constructs. The structural model confirmed 9 original
sub-hypotheses.