Firm Size and Turn-of-the-Year Effects in the OTC/NASDAQ Market
Firm Size and Turn-of-the-Year Effects in the OTC/NASDAQ Market
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OTC/纳斯达克市场的公司规模和年初效应
DOI：
10.1111/j.1540-6261.1989.tb02651.x
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发表时间：
1989
期刊：
影响因子：
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通讯作者：
Gary C. Sanger
中科院分区：
文献类型：
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作者：
C. Lamoureux;Gary C. Sanger
本文研究了 1973-85 年期间通过纳斯达克报告系统交易的场外股票样本的年初效应、公司规模效应以及这两种效应之间的关系。作者发现结果与仅基于上市股票的结果类似。这些发现的重要性源于场外交易/纳斯达克样本的特征与文献中先前研究的上市公司样本之间存在着显着的差异。他们还发现，纳斯达克报价的买卖价差与公司规模高度负相关，季节性不强，并且大到足以排除基于小公司回报季节性的了解而产生的交易利润。美国金融协会版权所有 1989。
This paper examines the turn-of-the-year effect, the firm size effect, and the relation between these two effects for a sample of over-the-counter stocks traded via the NASDAQ reporting system over the period 1973-85. The authors find results similar to those based solely on listed stocks. The importance of these findings stems from the existence of nontrivial differences between the characteristics of the over-the-counter/NASDAQ sample and the samples of listed firms examined previously in the literature. They also find that NASDAQ quoted bid-ask spreads are highly negatively correlated with firm size, are not highly seasonal, and are large enough to preclude trading profits based upon a knowledge of the seasonality of small firms' returns. Copyright 1989 by American Finance Association.