Stock Exchange Listings, Firm Value, and Security Market Efficiency: The Impact of NASDAQ
研究1966-1977年间场外交易股票在纽约证券交易所上市的事件，发现纳斯达克系统引入后，上市公告的超额收益显著降低，表明纳斯达克减少了在主要交易所上市的好处。
This paper is an event-time study of OTC stocks that listed on the New York Stock Ex? change (NYSE) over the period 1966-1977. This period was chosen because it spans the introduction of the National Association of Securities Dealers Automatic Quotation (NASDAQ) communications system in the OTC market. In the pre-NASDAQ period, stocks, on average, earn significant positive abnormal returns in response to listing an? nouncements. In the post-NASDAQ period, abnormal returns in response to listing an? nouncements are statistically significantly lower than those for the pre-NASDAQ period. These results are consistent with the hypothesis that NASDAQ has reduced the benefits associated with listing on a major stock exchange. Additionally, in both the pre- and post- NASDAQ periods, stocks, on average, earn significant positive abnormal returns follow? ing the initial announcement of listing before listing actually occurs, and they earn signifi? cant negative returns immediately after listing. These anomalies are explored and the re? sults are shown to be insensitive to variations in empirical methodology.