An Evaluation of a Trading Strategy for Stocks that Switch Exchanges from the NASDAQ to the NYSE
William M. Bassin
Shippensburg University of Pennsylvania
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.
Number of Pages in PDF File: 10
JEL Classification: G14
Date posted: October 22, 1998