Ryan Davis , Todd Griffith , Bonnie Van Ness , Robert Van Ness
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引用次数: 0
Abstract
OTC Markets Group organizes stocks that trade over-the-counter (OTC) into three marketplaces (OTCQX, OTCQB, and Pink) based on firm quality and disclosure practices. We examine trading within these tiers and find that stocks in higher tiers are more liquid than stocks in lower tiers. After a series of difference-in-differences tests comparing a matched sample of stocks that change tiers, we find that liquidity improves (deteriorates) for stocks moving up (down) the tiered market structure, suggesting that the tier designations resolve uncertainty and increase firm visibility. Our results show that liquidity differences between tiers is attributable to OTC market structure.
期刊介绍：
The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.
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