THE EFFECT OF MARKET-SEGMENTATION AND ILLIQUIDITY ON ASSET PRICES - EVIDENCE FROM EXCHANGE LISTINGS

被引:169
作者
KADLEC, GB [1 ]
MCCONNELL, JJ [1 ]
机构
[1] PURDUE UNIV,KRANNERT SCH MANAGEMENT,W LAFAYETTE,IN 47907
关键词
D O I
10.1111/j.1540-6261.1994.tb05154.x
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This article documents the effect on share value of listing on the New York Stock Exchange and reports the results of a joint test of Merton's (1987) investor recognition factor and Amihud and Mendelson's (1986) liquidity factor as explanations of the change in share value. We find that during the 1980s stocks earned abnormal returns of 5 percent in response to the listing announcement and that listing is associated with an increase in the number of shareholders and a reduction in bid-ask spreads. Cross-sectional regressions provide support for both investor recognition and liquidity as sources of value from exchange listing.
引用
收藏
页码:611 / 636
页数:26
相关论文
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