haku: @indexterm SEASONAL FLUCTUATION / yhteensä: 63
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| Tekijä: | Lamoureux, C. G. Sanger, G. C. |
| Otsikko: | Firm size and turn-of-the-year effect in the OTC/NASDAQ market |
| Lehti: | Journal of Finance
1989 : DEC, VOL. 44:5, p. 1219-1245 |
| Asiasana: | STOCK MARKETS STOCK OPTIONS COMPANIES BY SIZE SEASONAL FLUCTUATION PROFIT SMALL BUSINESS |
| Kieli: | eng |
| Tiivistelmä: | The turn-of-the-year effect, the firm size effect, and the relation between these two effects are examined for a sample of OTC stocks traded via the NASDAQ reporting system over the period 1973-1985. The results are similar to those based solely on listed stocks. It is found 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. |
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