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

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  • Lamoureux, Christopher G
  • Sanger, Gary C
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    Abstract

    This paper examines the turn-of-the-year effect, the firm size effect, and the relation between these two effects for a sample of over-the-counter stocks traded via the NASDAQ reporting system over the period 1973-85. The authors 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 over-the-counter/NASDAQ sample and the samples of listed firms examined previously in the literature. They 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. Copyright 1989 by American Finance Association.

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    Bibliographic Info

    Article provided by American Finance Association in its journal Journal of Finance.

    Volume (Year): 44 (1989)
    Issue (Month): 5 (December)
    Pages: 1219-45

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    Handle: RePEc:bla:jfinan:v:44:y:1989:i:5:p:1219-45

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    Cited by:
    1. Rich Fortin & Judy Maese, 1992. "Option Introduction and Liquidity Changes in the OTC/NASDAQ Equity Market," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 2(1), pages 39-52 , Fall.

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