Many micro-cap and nano-cap stocks are traded over-the-counter with their prices quoted on the OTCBB, OTC Link LLC, or the Pink Sheets.
The larger, more established micro-caps are listed on the NASDAQ Capital Market or American Stock Exchange (AMEX).
[2] These micro cap stocks are less likely to be published and talked about by stockbrokers compared to larger public companies.
Pricing is more likely to be inefficient, since fewer institutional investors and analysts operate in this space, due to the relatively small dollar amounts involved and the lack of liquidity—in other words, how many trades are made per day.
David Maley of Ariel Investments argues that ample evidence indicates holding a portion of a portfolio in micro-cap stocks can offer advantages.