A False Perception? The relative riskiness of AIM and listed Stocks

John Board (), Alfonso Dufour, Charles Sutcliffe and Stephen Wells
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John Board: ICMA Centre, University of Reading
Stephen Wells: ICMA Centre, University of Reading

ICMA Centre Discussion Papers in Finance from Henley Business School, University of Reading

Abstract: This research examines the perception that the AIM market is riskier than the Official List market in comparable stocks. The empirical analysis uses high frequency data for January 2000 to December 2004 on 533 AIM stocks and 264 comparable Official List stocks. Risk is measured in a variety of ways. At a superficial level AIM stocks appear riskier than comparable Official List stocks. However, as the analysis is refined to ensure the comparison focuses purely on the effects of being listed on different markets, the additional AIM risk shrinks and finally disappears. This conclusion concurs with the current market practitioner view that there is no significant risk differential.

Pages: 40 pages
Date: 2005-10
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