Journal of Financial Economics Vol. 28 No. 1-2 1990
Market microstructure and asset pricing
Abstract
This research investigates the influence of market microstructure on liquidity premiums. Premiums of a competitive, multiple-dealership market (NASDAQ) are contrasted with those of a monopolistic, specialist system (NYSE). Differences in liquidity premiums are estimated from monthly stock returns. For small firms, the average returns of NYSE securities exceed the average returns of NASDAQ securities. This return differential persists after controlling for size, risk, and liquidity-related variables. Neither the NYSE nor NASDAQ dominates the other in providing liquidity. The NASDAQ appears to have a liquidity advantage over the NYSE for small firms but not for large companies.
- DOI
- 10.1016/0304-405x(90)90050-a
- Volume
- 28
- Issue
- 1-2
- Pages
- 127-147
- Language
- en
- Sources
- bibtex:phds-export.bib crossref openalex