Valuation Effects of Listing on a More Prominent Segment of the Stock Market: Evidence from France |
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Authors: | J. F. Bacmann,M. Dubois,& C. Ertur |
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Affiliation: | RMF Investment Products, Switzerland;, Universitéde Neuchâtel, Pierre–à–Mazel 7, 2000 Neuchâtel, Switzerland;, LATEC, Universitéde Bourgogne, Dijon, France |
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Abstract: | We examine the behaviour of stock prices during the period around the transfer to the Marchéà Règlement Mensuel . First, we discuss the financial reasons, which can justify abnormal returns around the transfer. Second, an event study based on a sample of 71 firms is set up to test the existence of the exchange listing effect on the French market. Third, we explore three hypotheses in order to explain the impact on stock returns: the informative content of the transfer, the increase in the relative size of the firm's investor base, and the reduction of trading costs (immediacy and adverse selection). Cross–sectional regressions show that the increase in the relative size of the firm's investor base is the only variable, which helps to explain the valuation effect. |
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Keywords: | exchange listing event study analyst following liquidity trading activity systematic risk firm's investor base |
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