Asset Pricing in the Dark: The Cross Section of OTC Stocks
---- Acknowledgements -----
The authors thank Bill Aronin for providing MarketQA data. We appreciate helpful comments from Andrew Karolyi (editor), David Hirshleifer (executive editor), two anonymous referees, Randy Cohen, Kent Daniel, Larry Harris, Cam Harvey, Narasimhan Jegadeesh, Charles Jones, Tyler Shumway, Rossen Valkanov, and Adrien Verdelhan. We are also grateful to seminar participants at the Western Finance Association meetings and at the following universities: Arizona, Berkeley, Columbia, Michigan, North Carolina, Stanford, and Virginia. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.