Asset Pricing in the Dark: The Cross-Section of OTC Stocks

被引：45

作者：

Ang, Andrew ^{[1
]}

Shtauber, Assaf A. ^{[1
]}

Tetlock, Paul C. ^{[1
]}

机构：

[1] Columbia Univ, New York, NY 10027 USA

来源：

REVIEW OF FINANCIAL STUDIES | 2013年 / 26卷 / 12期

关键词：

G02; G12; G14; ECONOMIC CONSEQUENCES; SHORT SALES; MARKET; MOMENTUM; RETURNS; RISK; LIQUIDITY; EQUILIBRIUM; DISCLOSURE; BIASES;

D O I：

10.1093/rfs/hht053

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Over-the-counter (OTC) stocks are far less liquid, disclose less information, and exhibit lower institutional holdings than do listed stocks. We exploit these different market conditions to test theories of cross-sectional return premiums. Compared with premiums in listed markets, the OTC illiquidity premium is several times higher, the size, value, and volatility premiums are similar, and the momentum premium is three times lower. The OTC illiquidity, size, value, and volatility premiums are largest among stocks held predominantly by retail investors and those not disclosing financial information. Theories of differences in investors' opinions and limits on short sales help explain these return premiums.

引用

页码：2985 / 3028

页数：44

共 62 条

[1] Stock market manipulations [J].