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.

引用

页码：127 / 147

页数：21

共 50 条

[31] Research on capital asset pricing model empirical in China market
Dai, Jianhua
Hu, Jian
Lan, Songmin
[J]. Journal of Chemical and Pharmaceutical Research, 2014, 6 (06) : 431 - 436
[32] Market microstructure and asset pricing: On the compensation for illiquidity in stock returns
Brennan, MJ
Subrahmanyam, A
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1996, 41 (03) : 441 - 464
[33] FARM REAL-ESTATE PRICING UNDER RISK - AN EMPIRICAL-INVESTIGATION
WHITE, FC
ZIEMER, RF
[J]. SOUTHERN ECONOMIC JOURNAL, 1982, 49 (01) : 77 - 87
[34] THE AGGREGATE LABOR-MARKET - AN EMPIRICAL-INVESTIGATION INTO MARKET-CLEARING FOR THE UK
ANDREWS, M
[J]. ECONOMIC JOURNAL, 1987, 97 (385): : 157 - 176
[35] AN EMPIRICAL-INVESTIGATION OF THE STRUCTURE AND PERFORMANCE OF THE PRIVATE WORKERS COMPENSATION MARKET
CARROLL, AM
[J]. JOURNAL OF RISK AND INSURANCE, 1993, 60 (02) : 185 - 207
[36] AN EMPIRICAL-INVESTIGATION OF THE MARKET FOR AUDIT SERVICES IN THE PUBLIC-SECTOR
BABER, WR
BROOKS, EH
RICKS, WE
[J]. JOURNAL OF ACCOUNTING RESEARCH, 1987, 25 (02) : 293 - 305
[37] THE REAL COSTS OF HEDGING IN THE FORWARD EXCHANGE MARKET - AN EMPIRICAL-INVESTIGATION
MADURA, J
[J]. MANAGEMENT INTERNATIONAL REVIEW, 1984, 24 (02) : 24 - 27
[38] MARKET TIMING, SELECTIVITY, AND MUTUAL FUND PERFORMANCE - AN EMPIRICAL-INVESTIGATION
LEE, CF
RAHMAN, S
[J]. JOURNAL OF BUSINESS, 1990, 63 (02): : 261 - 278
[39] SECONDARY MORTGAGE MARKET YIELDS - AN EMPIRICAL-INVESTIGATION OF FHLMC COMMITMENTS
PAGE, DE
SIRMANS, CF
[J]. AKRON BUSINESS AND ECONOMIC REVIEW, 1986, 17 (02): : 6 - 11
[40] Systematic skewness in asset pricing: an empirical examination of the Taiwan stock market
Lin, BH
Wang, JMC
[J]. APPLIED ECONOMICS, 2003, 35 (17) : 1877 - 1887

← 1 2 3 4 5 →