An Empirical Analysis of Common Stock Delistings
实证分析股票从主要交易所退市的过程，研究退市前后的股价变动，并检验四种解释公司价值下降的假说，发现流动性假说得到支持。
This paper presents an empirical analysis of firms that are delisted from a major stock exchange. The delisting process is described and stock price movements surrounding delisting are analyzed. For firms with prior announcements, equity values decline by approx? imately 8.5 percent on announcement day. For firms without prior announcements, a sim? ilar adjustment takes place between the last day of trading in the initial market and the close of the first day of trading in the new market. Four hypotheses concerning the decline in firm value are examined. These are the liquidity hypothesis, the management signalling hypothesis, the exchange certification hypothesis, and the downward sloping demand curve hypothesis. Evidence consistent with the liquidity hypothesis is presented in the paper. Unlike evidence on stock exchange listings, returns in the post-delisting period do not appear to be anomalous.