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A False Perception? The relative riskiness of AIM and listed Stocks

Listed author(s):
  • John Board


    (ICMA Centre, University of Reading)

  • Alfonso Dufour


    (Lecturer in Finance)

  • Charles Sutcliffe


    (ICMA Centre, University of Reading)

  • Stephen Wells

    (ICMA Centre, University of Reading)

This research examines the perception that the AIM market is riskier than the Official List market in comparable stocks. The empirical analysis uses high frequency data for January 2000 to December 2004 on 533 AIM stocks and 264 comparable Official List stocks. Risk is measured in a variety of ways. At a superficial level AIM stocks appear riskier than comparable Official List stocks. However, as the analysis is refined to ensure the comparison focuses purely on the effects of being listed on different markets, the additional AIM risk shrinks and finally disappears. This conclusion concurs with the current market practitioner view that there is no significant risk differential.

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Paper provided by Henley Business School, Reading University in its series ICMA Centre Discussion Papers in Finance with number icma-dp2006-01.

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Length: 40 pages
Date of creation: Oct 2005
Handle: RePEc:rdg:icmadp:icma-dp2006-01
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  1. Laura Bottazzi & Marco Da Rin, "undated". "Europe’s ‘New’ Stock Markets," Working Papers 218, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  2. Ying, Louis K. W. & Lewellen, Wilbur G. & Schlarbaum, Gary G. & Lease, Ronald C., 1977. "Stock Exchange Listings and Securities Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(03), pages 415-432, September.
  3. Kenji Kutsuna & Marc Cowling & Paul Westhead, 2000. "The short-run performance of JASDAQ companies and venture capital involvement before and after flotation," Venture Capital, Taylor & Francis Journals, vol. 2(1), pages 1-25, January.
  4. K. McCaffrey & P. Hamill, 2000. "Dividend initiation announcements effects in initial public offerings," Applied Financial Economics, Taylor & Francis Journals, vol. 10(5), pages 533-542.
  5. Aggarwal, Reena & Angel, James J., 1999. "The rise and fall of the Amex Emerging Company Marketplace," Journal of Financial Economics, Elsevier, vol. 52(2), pages 257-289, May.
  6. Franzke, Stefanie A. & Schlag, Christian, 2003. "Over-allotment options in IPOs on Germany's Neuer Markt: An empirical investigation," CFS Working Paper Series 2002/16, Center for Financial Studies (CFS).
  7. Sami Torstila, 2001. "What Determines IPO Gross Spreads in Europe?," European Financial Management, European Financial Management Association, vol. 7(4), pages 523-541.
  8. Kutsuna, Kenji & Okamura, Hideo & Cowling, Marc, 2002. "Ownership structure pre- and post-IPOs and the operating performance of JASDAQ companies," Pacific-Basin Finance Journal, Elsevier, vol. 10(2), pages 163-181, April.
  9. J. F. Bacmann & M. Dubois & C. Ertur, 2002. "Valuation Effects of Listing on a More Prominent Segment of the Stock Market: Evidence from France," European Financial Management, European Financial Management Association, vol. 8(4), pages 479-493.
  10. Christian Leuz, 2003. "IAS Versus U.S. GAAP: Information Asymmetry-Based Evidence from Germany's New Market," Journal of Accounting Research, Wiley Blackwell, vol. 41(3), pages 445-472, June.
  11. William P. Rees, 1997. "The Arrival Rate of Initial Public Offers in the UK," European Financial Management, European Financial Management Association, vol. 3(1), pages 45-62.
  12. Wagner, Niklas, 2004. "Time-varying moments, idiosyncratic risk, and an application to hot-issue IPO aftermarket returns," Research in International Business and Finance, Elsevier, vol. 18(1), pages 59-72, April.
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