Post-listing underperformance: Is it really bad to move trading locations? |
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| Affiliation: | 1. CUNEF, Leonardo Prieto Castro 2, 28040 Madrid, Spain;2. Bangor University, Hen Goleg, College Road, Bangor, LL57 2DG, United Kingdom;3. Funcas, C / Caballero de Gracia, 28, 28013 Madrid, Spain;4. University of Granada, Spain;1. Department of Neurology & Stroke Unit, Sant''Anna Hospital, Como, Italy;2. Social & Health Direction, Sant''Anna Hospital, Como, Italy;3. Department of Cardiology, Valduce Hospital, Como, Italy;4. Department of Neurology, Valduce Hospital, Como, Italy;5. Department of Neurology, Niguarda Ca'' Granda Hospital, Milan, Italy;6. Department of Cardiology, Sant''Anna Hospital, Como, Italy |
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| Abstract: | We reexamine the post-listing puzzle by studying the stock performance of 2103 firms that moved from NASDAQ to NYSE or AMEX, or from AMEX to NYSE during 1973–1999. The matched four-factor regressions demonstrate that the listing firms do not underperform. Size-and-book-to-market matched factor regression finds that the “post-listing drift” is confined to the small set of firms moving from NASDAQ to AMEX during 1981–1990, within size deciles 3–6 and book-to-market quintiles 1–3. A further control of the industry effect is able to resolve the remaining abnormal returns. Our results are consistent with the pseudo market timing hypothesis in Schultz, (2003) [Schultz, P., 2003. Pseudo market timing and the long-run underperformance of IPOs. J. Fin. 58, 483–517.]. |
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