A note on trading mechanism and securities Õ value : The analysis of rejects from continuous trade

@inproceedings{Lauterbach2000ANO,
  title={A note on trading mechanism and securities {\~O} value : The analysis of rejects from continuous trade},
  author={Beni Lauterbach},
  year={2000}
}
We examine 97 stocks that moved from continuous trade back to single daily auctions. The response to exit from continuous trade is almost a mirror image of the entry response documented in Amihud et al., 1997 (Amihud, Y., Mendelson, H., Lauterbach, B., 1997. Journal of Financial Economics 45, 365±390). Upon exiting continuous trade, stock liquidity, price accuracy, and value drop. An exception is, however, identi®ed. Ten stocks that were omitted from continuous trade within three months of… CONTINUE READING

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