Market microstructure and asset pricing
作者： Marc R. Reinganum
DOI: 10.1016/0304-405X(90)90050-A
关键词:
摘要: Abstract This research investigates the influence of market microstructure on liquidity premiums. Premiums a competitive, multiple-dealership (NASDAQ) are contrasted with those monopolistic, specialist system (NYSE). Differences in premiums estimated from monthly stock returns. For small firms, average returns NYSE securities exceed NASDAQ securities. return differential persists after controlling for size, risk, and liquidity-related variables. Neither nor dominates other providing liquidity. The appears to have advantage over firms but not large companies.
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