Over the Counter Bulletin Board Exchange
| Autor: | Lawrence M. Levine, Carl Luft |
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| Rok vydání: | 2004 |
| Předmět: | |
| Zdroj: | The Journal of Alternative Investments. 7:95-106 |
| ISSN: | 2168-8435 1520-3255 |
| DOI: | 10.3905/jai.2004.461461 |
| Popis: | This study was motivated by the lack of empirical research performed on securities traded on the over the counter bulletin board exchange (“OTC-BB” or the “Exchange”). It extends prior research on this market by studying the impact of market capitalization and liquidity to return, volatility and components of the bid-ask spread. The time period analyzed runs from January 1, 1996 through December 31, 2000. The authors calculate return, volatility, Sharpe ratio, spread, and turnover for 10 equal-size deciles exclusively using OTC-BB traded securities. They find that an investment strategy that focuses on the largest OTC-BB firms provides relatively the highest risk-return trade-off in this market during the period January 1996? December 2000. These findings are consistent with an earlier article by the authors that suggests that a trading strategy of OTC-BB securities will not yield an appropriate risk-return trade-off as measured by the Sharpe ratio. In addition, they find that competition appears to be increasing as the relative bid/ask spread for OTC-BB securities declines. Finally, they observe that the behavior of the market participants trading OTC-BB securities (“traders”) is consistent with the behavior exhibited by New York Stock Exchange (“NYSE”) specialists. |
| Databáze: | OpenAIRE |
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