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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

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.

Suggested Citation

  • Lamoureux, Christopher G & Sanger, Gary C, 1989. " Firm Size and Turn-of-the-Year Effects in the OTC/NASDAQ Market," Journal of Finance, American Finance Association, vol. 44(5), pages 1219-1245, December.
  • Handle: RePEc:bla:jfinan:v:44:y:1989:i:5:p:1219-45
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    Cited by:

    1. Hur, Jungshik & Pettengill, Glenn & Singh, Vivek, 2014. "Market states and the risk-based explanation of the size premium," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 139-150.
    2. Easterday, Kathryn E. & Sen, Pradyot K., 2016. "Is the January effect rational? Insights from the accounting valuation model," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 168-185.
    3. Asheesh Pandey & Sanjay Sehgal, 2016. "Explaining Size Effect for Indian Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(1), pages 45-68, March.
    4. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2015. "Oil price and stock returns of consumers and producers of crude oil," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 245-262.
    5. repec:eee:ecofin:v:43:y:2018:i:c:p:1-18 is not listed on IDEAS
    6. De Moor, Lieven & Sercu, Piet, 2013. "The smallest firm effect: An international study," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 129-155.
    7. Timotheos Angelidis & Nikolaos Tessaromatis, 2014. "Global portfolio management under state dependent multiple risk premia," Proceedings of Economics and Finance Conferences 0400966, International Institute of Social and Economic Sciences.
    8. 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.
    9. Trabelsi, Mohamed Ali, 2010. "Choix de portefeuille: comparaison des différentes stratégies
      [Portfolio selection: comparison of different strategies]
      ," MPRA Paper 82946, University Library of Munich, Germany, revised 01 Dec 2010.

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