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Journal Article

Firm Size and Turn-of-the-Year Effects in the OTC/NASDAQ Market

Christopher G. Lamoureux and Gary C. Sanger
The Journal of Finance
Vol. 44, No. 5 (Dec., 1989), pp. 1219-1245
Published by: Wiley for the American Finance Association
DOI: 10.2307/2328640
Stable URL: http://www.jstor.org/stable/2328640
Page Count: 27
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Firm Size and Turn-of-the-Year Effects in the OTC/NASDAQ Market
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Abstract

This paper examines the turn-of-the-year effect, the firm size effect, and the relation between these two effects for a sample of OTC stocks traded via the NASDAQ reporting system over the period 1973-1985. We find results similar to those based solely on listed stocks. The importance of these findings stems from the existence of nontrivial differences between the characteristics of the OTC/NASDAQ sample and the samples of listed firms examined previously in the literature. We also find 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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