Firm Size And Turn-Of-The-Year Effects In The OTC/NASDAQ Ma

The turn-of-the-year effect, the firm size effect, and the relationship between these 2 effects are examined for a sample of over-the-counter (OTC) stocks traded via the National Association of Securities Dealers Automated Quotes (NASDAQ) reporting system over the period 1973-1985. The findings are...

Full description

Saved in:
Bibliographic Details
Published in:The Journal of finance (New York) 1989-12, Vol.44 (5), p.1219
Main Authors: Lamoureux, Christopher G, Sanger, Gary C
Format: Article
Language:English
Subjects:
Put & call options
Securities analysis
Securities markets
Stock index futures
Stock options
Stock prices
Stock splits
Volatility
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:The turn-of-the-year effect, the firm size effect, and the relationship between these 2 effects are examined for a sample of over-the-counter (OTC) stocks traded via the National Association of Securities Dealers Automated Quotes (NASDAQ) reporting system over the period 1973-1985. The findings are similar to those based solely on listed stocks. The significance of these results stems from the existence of nontrivial differences between the characteristics of the OTC/NASDAQ sample and the samples of listed firms examined previously in the literature. It is also found that NASDAQ-quoted bid-ask spreads are: 1. highly negatively correlated with firm size, 2. not highly seasonal, and 3. large enough to preclude trading profits based on a knowledge of the seasonality of small firms' returns.
ISSN:0022-1082
1540-6261