Stock Exchange Listings, Firm Value, and Security Market Efficiency: The Impact of NASDAQ

This paper is an event-time study of OTC stocks that listed on the New York Stock Exchange (NYSE) over the period 1966–1977. This period was chosen because it spans the introduction of the National Association of Securities Dealers Automatic Quotation (NASDAQ) communications system in the OTC market...

Full description

Saved in:
Bibliographic Details
Published in:Journal of financial and quantitative analysis 1986-03, Vol.21 (1), p.1-25
Main Authors: Sanger, Gary C., McConnell, John J.
Format: Article
Language:English
Subjects:
Common stock
Efficient markets
Financial securities
Liquidity
Listing
Mathematical models
Nasdaq Composite Index
Over the counter market
Over the counter stock
Over the counter trading
Quantitative analysis
Returns
Securities analysis
Securities markets
Statistical analysis
Stock exchanges
Stock prices
Structure
Studies
Citations: Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:This paper is an event-time study of OTC stocks that listed on the New York Stock Exchange (NYSE) over the period 1966–1977. This period was chosen because it spans the introduction of the National Association of Securities Dealers Automatic Quotation (NASDAQ) communications system in the OTC market. In the pre-NASDAQ period, stocks, on average, earn significant positive abnormal returns in response to listing announcements. In the post-NASDAQ period, abnormal returns in response to listing announcements are statistically significantly lower than those for the pre-NASDAQ period. These results are consistent with the hypothesis that NASDAQ has reduced the benefits associated with listing on a major stock exchange. Additionally, in both the pre- and post- NASDAQ periods, stocks, on average, earn significant positive abnormal returns following the initial announcement of listing before listing actually occurs, and they earn significant negative returns immediately after listing. These anomalies are explored and the results are shown to be insensitive to variations in empirical methodology.
ISSN:0022-1090
1756-6916
DOI:10.2307/2330987