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NYSE stocks have higher average returns than NASD stocks of similar size. This study finds that the higher NYSE returns are compensation for higher risks. Measured by book-to-marketequity ratios, NYSE firms are more distressed than NASD firms of similar size. Moreover, NYSE stocks are more sensitive to the risk factor in returns related to distress. The premium for this risk explains the higher NYSE returns. Stocks on the New York Stock Exchange (NYSE) have higher average returns than stocks ofdoi:10.2469/faj.v49.n1.37 fatcat:4npeklafj5asbc7t4gbecjgqdm