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Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies - Original PDF

دانلود کتاب Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies - Original PDF

Author: John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe, Stephen Wells (auth.)

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Abstract: We conduct an extensive empirical study comparing the relative riskiness of two UK equity markets run by the London Stock Exchange: AIM the market for growth companies versus the Main Market, the market for more established companies. AIM has been a considerable success. Even by its survival over 19 years it has succeeded in relation to similar markets in other countries. During that period it has seen rapid growth and has emerged as the market of choice for smaller, newer companies in the UK and increasingly elsewhere. Investors often perceive AIM as riskier than the Main Market for comparable stocks. At a superficial level we find that AIM stocks may seem more risky than comparable Main Market stocks, but as the analysis is refined to ensure that the comparisons focus purely on the effect of being on different markets the difference shrinks and finally disappears. This conclusion concurs with the market practitioner’s view that there is no significant risk differential

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The alternative investment market (AIM) has been a considerable success for the London Stock Exchange (LSE). Even by its survival over 19 years it has succeeded in relation to similar markets in other countries. Since its opening in 1995 it has grown steadily to reach 1,100 listed companies with a market value exceeding £76bn by 2014, and it has emerged as the market of choice for smaller, newer companies in the United Kingdom, and increasingly beyond the United Kingdom. This success has come even though recent years have not been kind to most second-tier markets and several have closed. AIM’s success is said to be partly a reflection of its regulatory standards and also because its marketing has targeted a wide range of companies rather than focussing on high-tech companies. We conducted a study into the continuing perception that AIM remains riskier than corresponding stocks on the LSE’s Main Market (obviously, AIM stocks can be expected to be more risky than blue-chip stocks). A result showing that AIM is not inherently more risky would be useful in addressing this perception. Conversely, if the results show that AIM stocks are indeed more risky, the analysis may help exchanges when considering regulatory and marketing policies and regulators when developing the regulatory infrastructure in a competitive environ- ment with alternative providers of trading services

چکیده فارسی

 

بازار سرمایه گذاری جایگزین (AIM) موفقیت قابل توجهی برای بورس اوراق بهادار لندن (LSE) بوده است. حتی با بقای بیش از 19 سال، در رابطه با بازارهای مشابه در کشورهای دیگر موفق بوده است. از زمان افتتاح آن در سال 1995، به طور پیوسته رشد کرده و به 1100 شرکت بورسی با ارزش بازار بیش از 76 میلیارد پوند تا سال 2014 رسیده است، و به عنوان بازار انتخابی برای شرکت های کوچکتر و جدیدتر در بریتانیا و به طور فزاینده ای فراتر از بریتانیا ظاهر شده است. این موفقیت در حالی حاصل شده است که سال‌های اخیر با اکثر بازارهای درجه دوم مهربان نبوده و چندین بازار بسته شده‌اند. گفته می شود که موفقیت AIM تا حدی بازتاب استانداردهای نظارتی آن است و همچنین به این دلیل که بازاریابی آن به جای تمرکز بر شرکت های با فناوری پیشرفته، طیف گسترده ای از شرکت ها را هدف قرار داده است. ما مطالعه‌ای را در مورد این درک مداوم انجام دادیم که AIM نسبت به سهام مربوطه در بازار اصلی LSE ریسک‌پذیرتر است (بدیهی است که می‌توان انتظار داشت سهام AIM نسبت به سهام بلوچیپ ریسک‌پذیرتر باشد). نتیجه ای که نشان دهد AIM ذاتاً مخاطره آمیزتر نیست در پرداختن به این تصور مفید خواهد بود. برعکس، اگر نتایج نشان دهد که سهام AIM واقعاً ریسک‌پذیرتر است، تجزیه و تحلیل ممکن است در هنگام در نظر گرفتن سیاست‌های نظارتی و بازاریابی و تنظیم‌کننده‌ها هنگام توسعه زیرساخت‌های نظارتی در یک محیط رقابتی با ارائه‌دهندگان جایگزین خدمات تجاری به مبادلات کمک کند

 

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Author(s): John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe, Stephen Wells (auth.)

Publisher: Palgrave Macmillan UK, Year: 2015

ISBN: 978-1-349-47228-4,978-1-137-36130-1

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Contents List of Figures vi List of Tables vii Acknowledgements ix 1 Introduction 1 2 Activities 3 3 Interviews 5 4 Literature Review 7 5 Empirical Analysis 31 6 Preliminary Data Analysis 41 7 Volatility Estimation 49 8 Basic Analysis of Relative Volatility 54 9 Relative Risk Allowing for Size, Age or Liquidity 58 10 Regression Analyses with Multiple Variables 64 11 Market-Switching Stocks 73 12 GARCH Analysis of Switchers 83 13 Conclusions 87 Appendix: Mean of Dummy Variables for all Estimated Regression Models 93 Bibliography 96 Index 109 vi DOI: 10.1057/9781137361301.0002 List of Figures 5.1 Number of listed stocks 35 5.2 Market leavers 40 6.1 Market capitalization bands 42 6.2 Comparative industry groupings 43 6.3 Companies by sub-sectors 45 6.4 Age distribution for AIM and Main Market stocks 46 6.5 Relative ages of AIM and Main Market stocks 47 6.6 Trading frequencies AIM vs. Main Market 47 8.1 Relative volatilities of AIM and Main Market stocks 55 8.2 Relative volatilities of AIM and Main Market stocks based on trades 56 9.1 Relative volatility by market capitalization 59 9.2 Relative volatility by industry 60 9.3 Relative volatility by firm age 61 9.4 Volatility by trading frequency 62 9.5 Average of risks for AIM and Main Market stocks 63 11.1 Capitalization of switching stocks 76 11.2 Relative risk analysis for switchers 76 11.3 Relative post- to pre-switch volatilities 77 11.4 Relative risk analysis controlling for market risk 79 11.5 Relative volatility analysis for switchers, AIM to Main Market 80 11.6 Relative volatility analysis for switchers, Main Market to AIM 81 12.1 FTSE 100 log returns over the entire sample period 85 viiDOI: 10.1057/9781137361301.0003 List of Tables 4.1 Number of companies listed on AIM and their market capitalization 11 4.2 AIM market capitalization in April 2014, by sector 12 4.3 Details of some of the larger junior exchanges in 2011 12 4.4 Small capitalization exchanges for which there is an empirical study 13 4.5 Studies of IPOs on small capitalization markets 15 4.6 Studies on IPO lock-ups on small capitalization markets 17 4.7 Studies on IPO values on small capitalization markets 17 4.8 Studies of the change in listing on systematic risk 22 4.9 Reasons for switching between AIM and the Main Market (1996–2009) 23 4.10 Reasons for switching between AIM and the Main Market (1996–2011) 23 4.11 Annualized standard deviation of daily returns 25 5.1 Eligible sample of stocks 33 5.2 Data cleanse 36 5.3 Corporate action adjustments 37 5.4 Number of companies leaving AIM 38 6.1 Mid-cap band representation 43 10.1 Possible risk factors for riskiness of AIM stocks 66 viii List of Tables DOI: 10.1057/9781137361301.0003 10.2 Control variables for regression analysis 67 10.3 Descriptive statistics for the dependent variables 67 10.4 Regression results for the first sample 68 10.5 Regression results for the second sample 69 11.1 Eligible sample of market-switching stocks 74 11.2 Average market capitalization of sample stocks 75 11.3 Market-switching stocks and volatility ratios by year and direction of transfer 78 11.4 Relative risk for switchers, combined samples 82 12.1 GARCH results for all switchers 86 12.2 Robust GARCH results for all switchers 86

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