The Effects Of Market Segmentation And Illiquidity On Asset Prices PDF Download
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| Author | : Stephen R. Foerster |
| Publisher | : |
| Total Pages | : 53 |
| Release | : 1998 |
| Genre | : |
| ISBN | : |
Download The Effects of Market Segmentation and Illiquidity on Asset Prices Book in PDF, ePub and Kindle
New abstract and new pdf file Diane 10/22/98 DianeNon-U.S. firms cross-listing shares on U.S. exchanges as American Depositary Receipts earn cumulative abnormal returns of 19 percent during the year before listing, an additional 1.20 percent during the listing week, but incur a loss of 14 percent during the year following listing. We show how these unusual share price changes are robust to changing market risk exposures and are related to an expansion of the shareholder base and to the amount of capital raised at the time of listing. Our tests provide support for the market segmentation hypothesis and Merton?s (1987) investor recognition hypothesis.
| Author | : Stephen Robert Foerster |
| Publisher | : London : Richard Ivey School of Business, University of Western Ontario |
| Total Pages | : 39 |
| Release | : 1996 |
| Genre | : Market segmentation |
| ISBN | : |
Download The Effects of Market Segmentation and Illiquidity on Asset Prices : Evidence from Foreign Stocks Listing in the US Book in PDF, ePub and Kindle
| Author | : Christopher Géczy |
| Publisher | : |
| Total Pages | : 684 |
| Release | : 1996 |
| Genre | : Corporations |
| ISBN | : |
Download The Effects of Market Segmentation and Illiquidity on Asset Prices Book in PDF, ePub and Kindle
| Author | : Stephen R. Foerster |
| Publisher | : London : Richard Ivey School of Business, University of Western Ontario |
| Total Pages | : 52 |
| Release | : 1997 |
| Genre | : |
| ISBN | : 9780771420276 |
Download The Effects of Market Segmentation and Investor Recognition on Asset Prices Book in PDF, ePub and Kindle
| Author | : Stephen R. Foerster |
| Publisher | : |
| Total Pages | : |
| Release | : 2001 |
| Genre | : |
| ISBN | : |
Download The Effects of Market Segmentation and Investor Recognition on Asset Prices Book in PDF, ePub and Kindle
Non-U.S. firms cross-listing shares on U.S. exchanges as American Depositary Receipts earn cumulative abnormal returns of 19 percent during the year before listing, an additional 1.20 percent during the listing week, but incur a loss of 14 percent during the year following listing. We show how these unusual share price changes are robust to changing market risk exposures and are related to an expansion of the shareholder base and to the amount of capital raised at the time of listing. Our tests provide support for the market segmentation hypothesis and Merton?s (1987) investor recognition hypothesis.
| Author | : Yakov Amihud |
| Publisher | : Now Publishers Inc |
| Total Pages | : 109 |
| Release | : 2006 |
| Genre | : Business & Economics |
| ISBN | : 1933019123 |
Download Liquidity and Asset Prices Book in PDF, ePub and Kindle
Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
| Author | : Akito Matsumoto |
| Publisher | : International Monetary Fund |
| Total Pages | : 39 |
| Release | : 2011-06-01 |
| Genre | : Business & Economics |
| ISBN | : 1455266450 |
Download Global Liquidity Book in PDF, ePub and Kindle
What is global liquidity and how does it affect an economy? The paper addresses that question by looking at liquidity from two different perspectives: global liquidity as availability of funds in safe and risky asset markets. This distinction between safe and risky asset markets is important due to market segmentation, which called for unconventional monetary policy to restore a function of risky asset markets. To analyze the effect of global liquidity, I construct proxy variables and then asses how they affect an emerging economy whose interest rate is affected by a world risk-free rate and a risk premium. Using the data from four major Latin American countries, I find that these two aspects of global liquidity have similar effects on economic performance in emerging market economies except for their effect on inflation.
| Author | : Won Jun Nah |
| Publisher | : |
| Total Pages | : |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download Quantitative Implications of Liquidity Constraints for Asset Prices and Monetary Policy Book in PDF, ePub and Kindle
This paper investigates quantitative significance of liquidity constraints for asset prices and monetary policy in a monetary economy version of Kiyotaki and Moore (2005). Motivated by the lack of commitment in the intertemporal asset trade, the model economy features limited resalability of illiquid asset (e.g., physical capital) as well as a borrowing limit to which the illiquid asset can be pledged as collateral. The demand for money arises from the anticipation of future liquidity needs for random investment opportunities. The key parameter governing the degree of liquidity haircut is calibrated using the historical recovery rates and the rating agencies' advance rates criteria for bonds and loans, whereas the arrival rate of an investment opportunity is estimated using the simulated method of moments (SMM). The implied liquidity premium is countercyclical, which is consistent with the so-called 'flight to quality' during recessions or financial crises. The magnitude of the liquidity premium also accounts for a significant portion of the equity premium. Further, an open market monetary expansion in the model economy causes nominal interest rates to fall in the short term and rise back to normal levels over time. These persistent liquidity effects are driven by the liquidity constraints, together with a limited participation (or market segmentation) in investment opportunities which essentially brings about asymmetric distributional effects of monetary policy.
| Author | : Celso Brunetti |
| Publisher | : |
| Total Pages | : 24 |
| Release | : 2004 |
| Genre | : |
| ISBN | : |
Download Asset Prices and Asset Correlations in Illiquid Markets Book in PDF, ePub and Kindle
We build a new asset pricing framework to study the effects of aggregate illiquidity on asset prices, volatilities and correlations. The Black-Scholes economy is obtained in our framework as the limiting case of perfectly liquid markets. The model is consistent with empirical studies on the effects of illiquidity on asset returns, volatilities and correlations. We present the model, study its qualitative properties and estimate the stocks' sensitivities to aggregate liquidity (betas) using nine years data for 24 randomly sampled stocks traded on the NYSE. These sensitivity parameters (betas) determine the effect that aggregate illiquidity has on expected returns, volatilities, correlations, CAPM-betas and Sharpe ratios. We find clear capitalization and sector patterns for the liquidity betas.
| Author | : Mary H. Fletcher |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download UK Closed-end Country Funds Book in PDF, ePub and Kindle
In this thesis we investigate the relation between UK closed-end country fund pricing and measures of illiquidity, sentiment and segmentation. First, we examine whether the UK closed-end country fund premium is related to the illiquidity of the UK fund or the illiquidity of the country in which the fund invests. We also consider whether emerging market country funds behave differently in terms of their premium and illiquidity to developed market country funds, and in particular whether they offer more stability during the period of the recent financial crisis. Overall, we find country illiquidity plays a significant role in the premium of emerging market funds. However, in developed market funds country illiquidity is not significant. Fund illiquidity, in contrast, is significant for developed market funds but not for emerging market funds. Second, we analyse the effect of sentiment on the pricing of UK closed-end country funds between 1992 and 2009. We find that country consumer sentiment is significantly negatively related to the share price and NAV (net asset value) return over different time horizons. We also find that UK consumer sentiment is significantly negatively related to the closed-end fund premium. The results suggest that both institutional investors and so called 'discount traders' influence country fund pricing. Third, we examine the effect of time-varying direct investment barriers on the pricing of UK closed-end country funds in emerging markets. We focus on the post-liberalisation period (1993-2009) and analyse the relation between time varying measures of direct and indirect market segmentation. We find that the direct measures of capital market segmentation are significantly negatively related to both the share price return and the return on the NAV of UK closed-end country funds in emerging markets. We also find, however, that direct investment barriers have an insignificant effect on the premium.
