How do designated market makers create value for small-caps?

被引：50
|
作者：
Menkveld, Albert J. [1 ,2 ]
Wang, Ting [1 ,2 ]
机构：
[1] Vrije Univ Amsterdam, FEWEB, NL-1081 HV Amsterdam, Netherlands
[2] TI Duisenharg Sch Finance, Amsterdam, Netherlands
来源：
JOURNAL OF FINANCIAL MARKETS | 2013年 / 16卷 / 03期
关键词：
Designated market maker; Liquidity; Liquidity risk; Small-caps; Abnormal returns; LIMIT ORDER BOOK; STOCK-EXCHANGE; LIQUIDITY RISK; INFORMATION; TIME; FLOW; RETURNS; ERRORS;
D O I：
10.1016/j.finmar.2012.12.003
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
A poor liquidity level and a high liquidity risk significantly raise the required return for small-cap stocks. Euronext allows these firms to hire designated market makers (DMMs) who guarantee a minimum liquidity supply for a lump sum annual fee. In an event study based on 74 DMM stocks, we find that the contract improves liquidity level, reduces liquidity risk, and generates an average abnormal return of 3.5%. DMMs participate in more trades and incur a trading loss on high quoted-spread days (days when their constraint is likely to bind). Finally, DMMs reduce the size of pricing errors. (C) 2013 Elsevier B.V. All rights reserved.
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页码：571 / 603
页数：33
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