Firm Size and Turn‐of‐the‐Year Effects in the OTC/NASDAQ Market
研究1973-1985年OTC/NASDAQ股票中公司规模与年末效应的关系，发现与上市股票类似的结果，但买卖价差与公司规模负相关且无季节性，足以消除基于小公司季节性收益的交易利润。
ABSTRACT This paper examines the turn‐of‐the‐year effect, the firm size effect, and the relation between these two effects for a sample of OTC stocks traded via the NASDAQ reporting system over the period 1973–1985. We find results similar to those based solely on listed stocks. The importance of these findings stems from the existence of nontrivial differences between the characteristics of the OTC/NASDAQ sample and the samples of listed firms examined previously in the literature. We also find that NASDAQ quoted bid‐ask spreads are highly negatively correlated with firm size, are not highly seasonal, and are large enough to preclude trading profits based upon a knowledge of the seasonality of small firms' returns.