Cost of transacting and expected returns in the Nasdaq market

Article Abstract:

This article empirically examines the liquidity premium predicted by the Amihud and Mendelson (1986) model using Nasdaq data over the 1973-1990 period. The results support the model and are much stronger than for the New York Stock Exchange (NYSE), as reported by Chen and Kan (1989) and Eleswarapu and Reinganum (1993). I conjecture that the stronger evidence on the Nasdaq is due to the dealers' inside spreads on the Nasdaq being a better proxy for the actual cost of transacting than the quoted spreads on the NYSE, since the Nasdaq dealers do not face competition from limit orders or floor traders. (Reprinted by permission of the publisher.)

Stock exchanges

---

Trading costs and exchange delisting: the case of firms that voluntarily move from the American Stock Exchange to the Nasdaq

Article Abstract:

We examine 47 stocks that voluntarily left the American Stock Exchange from 1992 through 1995 and listed on the Nasdaq. We find that both effective and quoted spreads increase by about 100 percent after listing on the Nasdaq. These spread changes are consistent across stocks. In contrast, excess returns are positive when firms announce a switch from The American Stock Exchange to the Nasdaq. We are unable to explain this apparent contradiction. (Reprinted by permission of the publisher.)

Securities listing, American Stock Exchange L.L.C.

---

Similar abstracts:

• Abstracts: Earnings and expected returns. Cash flow and investment: evidence from internal capital markets. Investment plans and stock returns
• Abstracts: From service to product. Image segmentation: the case of a tourism destination. Were banks marketing themselves well from a segmentation perspective before the emergence of scientific inquiry on services marketing?
• Abstracts: Service guarantees and consumers' evaluation of services. A cost/benefit approach to understanding service loyalty

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.