| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19309 |
| 来源ID | Working Paper 19309 |
| Asset Pricing in the Dark: The Cross Section of OTC Stocks | |
| Andrew Ang; Assaf A. Shtauber; Paul C. Tetlock | |
| 发表日期 | 2013-08-09 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | Over-the-counter (OTC) stocks are far less liquid, disclose less information, and exhibit lower institutional holdings than listed stocks. We exploit these different market conditions to test theories of cross-sectional return premiums. Compared to premiums in listed markets, the OTC illiquidity premium is several times higher, the size, value, and volatility premiums are similar, and the momentum premium is three times lower. The OTC illiquidity, size, value, and volatility premiums are largest among stocks held predominantly by retail investors and those not disclosing financial information. Theories of differences in investors' opinions and limits on short sales help explain these return premiums. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w19309 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576983 |
| 推荐引用方式 GB/T 7714 | Andrew Ang,Assaf A. Shtauber,Paul C. Tetlock. Asset Pricing in the Dark: The Cross Section of OTC Stocks. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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