Trading costs, investor recognition and market response: An analysis of firms that move from the Amex (Nasdaq) to Nasdaq (Amex)

摘要

We examine 36 firms that moved from the American Stock Exchange (Amex) to Nasdaq and 70 firms that moved from Nasdaq to the Amex after the market reform of Nasdaq. Quoted, effective, and realized spreads increase (decrease) when firms switch from the Amex (Nasdaq) to Nasdaq (Amex). The trade size is smaller but volume is larger when firms are listed on Nasdaq. Quotations on both markets exhibit quote clustering. Unlike previous studies, the Amex-to-Nasdaq (Nasdaq-to-Amex) firms have an average market value higher (lower) than the average of all Amex (Nasdaq) firms. The excess returns are positive (and higher than reported by previous research) when firms announce a move from the Amex to Nasdaq, particularly for high-tech firms, but are insignificant for the reverse. Moreover, we find that institutional ownership and the number of institutional shareholders increase when firms move from the Amex to Nasdaq, but not when firms move from Nasdaq to the Amex. The overall results suggest that firms that move to Nasdaq increase investor recognition and volume at the expense of an increase in trading costs, whereas firms that move to the Amex experience lower trading costs with no apparent change in investor recognition.