An Evaluation of a Trading Strategy for Stocks that Switch Exchanges from the NASDAQ to the NYSE

10 Pages Posted: 22 Oct 1998  

William M. Bassin

Shippensburg University of Pennsylvania

Date Written: September 1998

Abstract

A number of studies document the existence of a strategy for trading stocks that switch from the NASDAQ to the NYSE exchanges. This paper confirms the existence of high returns from such a strategy. However, the difference between these returns (net of transaction costs) and what would be expected given the risk associated with the strategy is only of borderline significance statistically. It therefore would appear that the returns associated with this trading strategy are consistent with the existence of an efficient market.

JEL Classification: G14

Suggested Citation

Bassin, William M., An Evaluation of a Trading Strategy for Stocks that Switch Exchanges from the NASDAQ to the NYSE (September 1998). Available at SSRN: https://ssrn.com/abstract=133336 or http://dx.doi.org/10.2139/ssrn.133336

William M. Bassin (Contact Author)

Shippensburg University of Pennsylvania ( email )

336 Grove Hall
Shippensburg, PA 17257
United States
717-532-1587 (Phone)

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