Firm Size and Turn-of-the-Year Effects in the OTC/NASDAQ Market

This paper examines the turn-of-the-year effect, the firm size effect, and the relation between these two effects for a sample of OTC stocks traded via the NASDAQ reporting system over the period 1973-1985. We find results similar to those based solely on listed stocks. The importance of these findi...

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Bibliographic Details
Published in:The Journal of finance (New York) 1989-12, Vol.44 (5), p.1219-1245
Main Authors: LAMOUREUX, CHRISTOPHER G., SANGER, GARY C.
Format: Article
Language:English
Subjects:
Financial economics
Financial portfolios
Market prices
Market value
Nasdaq Composite Index
Put & call options
Securities analysis
Securities markets
Security portfolios
Standard deviation
Stock exchanges
Stock index futures
Stock market indices
Stock options
Stock prices
Stock splits
Volatility
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Summary:This paper examines the turn-of-the-year effect, the firm size effect, and the relation between these two effects for a sample of OTC stocks traded via the NASDAQ reporting system over the period 1973-1985. We 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 OTC/NASDAQ sample and the samples of listed firms examined previously in the literature. We 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.
ISSN:0022-1082
1540-6261
DOI:10.1111/j.1540-6261.1989.tb02651.x