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The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings
8 references·16 citing·41 second hop
The Effect of Market Segmentation and Illiquidity on Asset Prices: Evidence from Exchange Listings (1994)The Effect of Market Segmentation and Ill…The Adjustment of Stock Prices to New Information (2003)The Adjustment of Stock Price…The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns (1989)The Effects of Beta, Bid-Ask …A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Transaction costs and the small firm effect (1983)Transaction costs and the sma…Transaction costs and the small firm effect (1983)Transaction costs and the sma…The Adjustment of Stock Prices to New Information (1969)The Adjustment of Stock Price…The Cost of Transacting (1968)The Cost of TransactingCompany name fluency, investor recognition, and firm value (2013)Company name fluency, investo…Liquidity biases in asset pricing tests☆ (2010)Liquidity biases in asset pri…The only game in town: Stock-price consequences of local bias☆ (2008)The only game in town: Stock-…Investor recognition and stock returns (2008)Investor recognition and stoc…Liquidity premia in dynamic bargaining markets (2007)Liquidity premia in dynamic b…Which Investors Fear Expropriation? Evidence from Investors' Portfolio Choices (2006)Which Investors Fear Expropri…SEC Regulation Fair Disclosure, information, and the cost of capital (2006)SEC Regulation Fair Disclosur…Globalization and Similarities in Corporate Governance: A Cross-Country Analysis (2006)Globalization and Similaritie…Investor Relations, Firm Visibility, and Investor Following (2005)Investor Relations, Firm Visi…Financial Market Design and the Equity Premium: Electronic versus Floor Trading (2005)Financial Market Design and t…Embeddedness, Social Identity and Mobility: Why Firms Leave the NASDAQ and Join the New York Stock Exchange (2000)Embeddedness, Social Identity…Number of Shareholders and Stock Prices: Evidence from Japan (1999)Number of Shareholders and St…MARKET STRUCTURE AND REPORTED TRADING VOLUME: NASDAQ VERSUS THE NYSE (1997)MARKET STRUCTURE AND REPORTED…The Impact of Industry Classifications on Financial Research (1996)The Impact of Industry Classi…Stock splits: Signaling or liquidity? The case of ADR ‘solo-splits’ (1996)Stock splits: Signaling or li…The Long-Run Negative Drift of Post-Listing Stock Returns (1995)The Long-Run Negative Drift o…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The structure of mutual fund charges (1996)Transaction Costs and Asset Prices: A Dynamic Equilibrium model (1998)Bank involvement with SMEs: Beyond relationship lending (2010)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)Illiquidity and stock returns: cross-section and time-series effects (2002)The Cross‐Section of Volatility and Expected Returns (2006)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Abnormal returns to a fundamental analysis strategy. (1998)Arbitrage risk and the book-to-market anomaly (2003)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Dividend Policy, Growth, and the Valuation of Shares (1961)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Liquidity, Maturity, and the Yields on U.S. Treasury Securities (1991)Valuation in Over-the-Counter Markets (2007)Information Asymmetry, Information Precision, and the Cost of Capital (2011)The Iron Cage Revisited: Institutional Isomorphism and Collective Rationality in Organizational Fields (1983)Economic Action and Social Structure: The Problem of Embeddedness (1985)Networks and Economic life (2003)The Small World of the American Corporate Elite, 1982-2001 (2003)The iron cage revisited institutional isomorphism and collective rationality in organizational fields (2004)Cultivating Trust and Harvesting Value in Virtual Communities (2008)Using daily stock returns (1985)The Cross-Section of Expected Stock Returns (1992)The Benefits of Lending Relationships: Evidence from Small Business Data (1994)Performance Implications of Firm Resource Interactions in the Acquisition of R&D-Intensive Firms (2008)The Limitations of Industry Concentration Measures Constructed with Compustat Data: Implications for Finance Research (2008)Search-based peer firms: Aggregating investor perceptions through internet co-searches (2015)Information Effects on the Bid-Ask Spread (1983)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)Introductory Econometrics for Finance (2008)
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References

  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1969The Adjustment of Stock Prices to New Information3,625 cited
  • 2003The Adjustment of Stock Prices to New Information3,063 cited
  • 1968The Cost of Transacting1,909 cited
  • 1983Transaction costs and the small firm effect529 cited
  • 1989The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns522 cited
  • 1983Transaction costs and the small firm effect431 cited

Cited by

  • 1996The Impact of Industry Classifications on Financial Research377 cited
  • 2000Embeddedness, Social Identity and Mobility: Why Firms Leave the NASDAQ and Join the New York Stock Exchange345 cited
  • 2006Globalization and Similarities in Corporate Governance: A Cross-Country Analysis278 cited
  • 2008The only game in town: Stock-price consequences of local bias☆261 cited
  • 2010Liquidity biases in asset pricing tests☆260 cited
  • 2006Which Investors Fear Expropriation? Evidence from Investors' Portfolio Choices244 cited
  • 1999Number of Shareholders and Stock Prices: Evidence from Japan

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241 cited
  • 2008Investor recognition and stock returns224 cited
  • 1997MARKET STRUCTURE AND REPORTED TRADING VOLUME: NASDAQ VERSUS THE NYSE221 cited
  • 2005Investor Relations, Firm Visibility, and Investor Following216 cited
  • 2013Company name fluency, investor recognition, and firm value213 cited
  • 1995The Long-Run Negative Drift of Post-Listing Stock Returns208 cited
  • 1996Stock splits: Signaling or liquidity? The case of ADR ‘solo-splits’185 cited
  • 2007Liquidity premia in dynamic bargaining markets184 cited
  • 2005Financial Market Design and the Equity Premium: Electronic versus Floor Trading183 cited
  • 2006SEC Regulation Fair Disclosure, information, and the cost of capital180 cited