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The apparent predictability of stock prices and the related profitability of investment strategies based on it has generated a great deal of research. Since the late eighties, momentum strategies have attracted a lot of the attention and have been found to be very profitable mainly for US stock market (NYSE and AMEX). A few papers (notable exceptions are Rouwenhorst (1998) and Chan, Hameed and Tong (2000)) have investigated this issue from an international perspective. In line with the recent literature this paper documents the profitability of momentum strategies in countries from the G-7 and explores some conjectures about the links existing between the return of these strategies, the business cycle and industries.

We examine the behaviour of stock prices during the period around the transfer to the Marche´a`Re`glement Mensuel. First, we discuss the financial reasons, which can justify abnormal returns around the transfer. Second, an event study based on a sample of 71 firms is set up to test the existence of the exchange listing effect on the French market. Third, we explore three hypotheses in order to explain the impact on stock returns: the informative content of the transfer, the increase in the relative size of the firm's investor base, and the reduction of trading costs (immediacy and adverse selection). Cross-sectional regressions show that the increase in the relative size of the firm's investor base is the only variable, which helps to explain the valuation effect.

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