Premium
The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings
Author(s) -
KADLEC GREGORY B.,
MCCONNELL JOHN J.
Publication year - 1994
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1994.tb05154.x
Subject(s) - market liquidity , stock exchange , listing (finance) , monetary economics , financial economics , shareholder , value (mathematics) , business , economics , asset (computer security) , finance , corporate governance , computer security , machine learning , computer science
This article documents the effect on share value of listing on the New York Stock Exchange and reports the results of a joint test of Merton's (1987) investor recognition factor and Amihud and Mendelson's (1986) liquidity factor as explanations of the change in share value. We find that during the 1980s stocks earned abnormal returns of 5 percent in response to the listing announcement and that listing is associated with an increase in the number of shareholders and a reduction in bid‐ask spreads. Cross‐sectional regressions provide support for both investor recognition and liquidity as sources of value from exchange listing.