The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings
研究股票在纽约证券交易所上市对股价的影响，发现上市公告带来5%的超额收益，同时股东数量增加、买卖价差缩小，支持投资者认知和流动性是价值来源。
ABSTRACT This article documents the effect on share value of listing on the New York Stock Exchange and reports the results of a joint test of Merton's (1987) investor recognition factor and Amihud and Mendelson's (1986) liquidity factor as explanations of the change in share value. We find that during the 1980s stocks earned abnormal returns of 5 percent in response to the listing announcement and that listing is associated with an increase in the number of shareholders and a reduction in bid‐ask spreads. Cross‐sectional regressions provide support for both investor recognition and liquidity as sources of value from exchange listing.