Firm Size and Turn‐of‐the‐Year Effects in the OTC/NASDAQ Market

Christopher G Lamoureux, GARY C. SANGER

Research output: Contribution to journalArticle

49 Citations (Scopus)

Abstract

This paper examines the turn‐of‐the‐year effect, the firm size effect, and the relation between these two effects for a sample of OTC stocks traded via the NASDAQ reporting system over the period 1973–1985. We find results similar to those based solely on listed stocks. The importance of these findings stems from the existence of nontrivial differences between the characteristics of the OTC/NASDAQ sample and the samples of listed firms examined previously in the literature. We also find that NASDAQ quoted bid‐ask spreads are highly negatively correlated with firm size, are not highly seasonal, and are large enough to preclude trading profits based upon a knowledge of the seasonality of small firms' returns. 1989 The American Finance Association

Original languageEnglish (US)
Pages (from-to)1219-1245
Number of pages27
JournalThe Journal of Finance
Volume44
Issue number5
DOIs
StatePublished - 1989
Externally publishedYes

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Firm size
Finance
Seasonality
Profit
Small firms

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

Cite this

Firm Size and Turn‐of‐the‐Year Effects in the OTC/NASDAQ Market. / Lamoureux, Christopher G; SANGER, GARY C.

In: The Journal of Finance, Vol. 44, No. 5, 1989, p. 1219-1245.

Research output: Contribution to journalArticle

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