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OTC MARKET SWITCHING AND STOCK RETURNS: SOME EMPIRICAL EVIDENCE
Author(s) -
Baker H. Kent,
Edelman Richard B.
Publication year - 1990
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1990.tb00636.x
Subject(s) - market liquidity , stock market , stock (firearms) , listing (finance) , monetary economics , business , financial economics , abnormal return , empirical evidence , economics , event study , stock exchange , finance , geography , philosophy , context (archaeology) , epistemology , archaeology
In this study the effect on the common stock returns of 278 firms that switched OTC market segments from 1982 to 1987 is examined. It is hypothesized that abnormally positive returns are associated with news of the move from the NASDAQ to the NASDAQ National Market System (NMS) and that the market responds more favorably during pre‐NMS inclusion for stocks with low versus high liquidity before switching. Using event study methodology, results support these hypotheses. Unlike post‐listing studies, the evidence reveals no anomalous return behavior during the post‐NMS inclusion period studied.