MARKET MICROSTRUCTURE AND ASSET PRICING - AN EMPIRICAL-INVESTIGATION OF NYSE AND NASDAQ SECURITIES

被引：44
|
作者：
REINGANUM, MR
机构：
[1] University of Iowa, Iowa City
来源：
JOURNAL OF FINANCIAL ECONOMICS | 1990年 / 28卷 / 1-2期
关键词：
D O I：
10.1016/0304-405X(90)90050-A
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This research investigates the influence of market microstructure on liquidity premiums. Premiums of a competitive, multiple-dealership market (NASDAQ) are contrasted with those of a monopolistic, specialist system (NYSE). Differences in liquidity premiums are estimated from monthly stock returns. For small firms, the average returns of NYSE securities exceed the average returns of NASDAQ securities. This return differential persists after controlling for size, risk, and liquidity-related variables. Neither the NYSE nor NASDAQ dominates the other in providing liquidity. The NASDAQ appears to have a liquidity advantage over the NYSE for small firms but not for large companies. © 1990.
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页码：127 / 147
页数：21
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