Trading Costs and Exchange Delisting: The Case of Firms that Voluntarily Move from the American Stock Exchange to the Nasdaq
研究1992至1995年47家自愿从美国证券交易所转至纳斯达克的公司，发现交易成本翻倍，但公告时超额收益为正，存在矛盾。
We examine 47 stocks that voluntarily left the American Stock Exchange from 1992 through 1995 and listed on the Nasdaq. We find that both effective and quoted spreads increase by about 100 percent after listing on the Nasdaq. These spread changes are consistent across stocks. In contrast, excess returns are positive when firms announce a switch from The American Stock Exchange to the Nasdaq. We are unable to explain this apparent contradiction.