Firm-initiated and Exchange-initiated Transfers to Continuous Trading: Evidence from the Warsaw Stock Exchange
European University Viadrina, Frankfurt (Oder)
Technion-Israel Institute of Technology; Bar Ilan University - S. Daniel Abraham School of Business Adminstration
Journal of Financial Markets, Forthcoming
We examine 59 transfers from call auctions to continuous trade on the Warsaw Stock Exchange. The transferred stocks experience an average excess return of about 13%, which can be partly explained by their significant liquidity improvements. Significant liquidity and value reactions are also found in a subsample of transfers initiated by the companies themselves. We are the first to study firm-initiated transfers to continuous trading, and our evidence suggests that exchanges should allow firms that desire so to move their stock to continuous trading.
JEL Classification: G12, G14Accepted Paper Series
Date posted: January 13, 2005
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