Ang, Andrew; Shtauber, Assaf A.; Tetlock, Paul C. - In: Review of Financial Studies 26 (2013) 12, pp. 2985-3028
Over-the-counter (OTC) stocks are far less liquid, disclose less information, and exhibit lower institutional holdings than do listed stocks. We exploit these different market conditions to test theories of cross-sectional return premiums. Compared with premiums in listed markets, the OTC...