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| Author | : Stephen R. Foerster |
| Publisher | : London : Richard Ivey School of Business, University of Western Ontario |
| Total Pages | : 52 |
| Release | : 1997 |
| Genre | : |
| ISBN | : 9780771420276 |
| Author | : Stephen R. Foerster |
| Publisher | : |
| Total Pages | : |
| Release | : 2001 |
| Genre | : |
| ISBN | : |
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 | : Stephen R. Foerster |
| Publisher | : |
| Total Pages | : 53 |
| Release | : 1998 |
| Genre | : |
| ISBN | : |
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 | : Christopher Géczy |
| Publisher | : |
| Total Pages | : 684 |
| Release | : 1996 |
| Genre | : Corporations |
| ISBN | : |
| Author | : Stephen Robert Foerster |
| Publisher | : London : Richard Ivey School of Business, University of Western Ontario |
| Total Pages | : 39 |
| Release | : 1996 |
| Genre | : Market segmentation |
| ISBN | : |
| Author | : Robert A. Korajczyk |
| Publisher | : World Bank Publications |
| Total Pages | : 48 |
| Release | : 1995 |
| Genre | : Aktiemarkeder |
| ISBN | : |
| Author | : Honghui Chen |
| Publisher | : |
| Total Pages | : 57 |
| Release | : 2002 |
| Genre | : |
| ISBN | : |
Several studies have found that stock price changes resulting from firms added to the Samp;P 500 index can be best exp lained by a downward sloping demand curve. In this paper, we study price effects around both additions and deletions and find that the price effect of index changes is consistent with Merton's (1987) investor-awareness and market segmentation hypothesis. We find that the reduction in shadow cost of incomplete diversification that follows additions is correlated with abnormal returns accruing to the added stocks. We also find that the asymmetric price effects of additions and deletions that have not been explained by empirical studies thus far are consistent with market segmentation.
| Author | : Samuel P. Fraiberger |
| Publisher | : International Monetary Fund |
| Total Pages | : 33 |
| Release | : 2018-12-10 |
| Genre | : Business & Economics |
| ISBN | : 1484389212 |
We assess the impact of media sentiment on international equity prices using more than 4.5 million Reuters articles published across the globe between 1991 and 2015. News sentiment robustly predicts daily returns in both advanced and emerging markets, even after controlling for known determinants of stock prices. But not all news-sentiment is alike. A local (country-specific) increase in news optimism (pessimism) predicts a small and transitory increase (decrease) in local returns. By contrast, changes in global news sentiment have a larger impact on equity returns around the world, which does not reverse in the short run. We also find evidence that news sentiment affects mainly foreign – rather than local – investors: although local news optimism attracts international equity flows for a few days, global news optimism generates a permanent foreign equity inflow. Our results confirm the value of media content in capturing investor sentiment.
| Author | : Robert A. Korajczyk |
| Publisher | : |
| Total Pages | : |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
A wide variety of official capital controls across countries makes it difficult to perform cross-sectional analysis of the effects of market segmentation. This article constructs a measure of deviations from capital market integration that can be consistently applied across countries. It measures deviations of asset returns from an equilibrium model of returns constructed assuming market integration. Applying the measure to stock returns from twenty-four national markets indicates that market segmentation tends to be much larger for emerging markets than for developed markets, and that the measure tends to decrease over time. Along several dimensions, the proposed measure yiels results that are consistent with reasonable priors about the relations between effective integration and explicit capital controls, capital market development, and economic growth.
| Author | : Ian Domowitz |
| Publisher | : |
| Total Pages | : |
| Release | : 1998 |
| Genre | : |
| ISBN | : |
Restrictions on equity ownership are common in many countries, especially emerging markets. Yet, despite their importance, many basic empirical questions regarding the effects of such barriers to investment remain unanswered. This paper examines the relation between stock prices and market segmentation induced by ownership restrictions in Mexico. The Mexican market is of particular interest, because firms typically issue multiple classes of equity that differentiate between foreign and domestic traders, and in the case of financial firms, between domestic individuals and institutions. We document significant stock price premia for unrestricted stock, reflecting segmentation induced by ownership restrictions. Using panel data techniques, we analyze the determinants of segmentation across firms and over time. In addition to economy-wide factors, such as foreign perceptions of currency risk, segmentation also reflects the relative scarcity of unrestricted shares. Our results are consistent with theoretical models, in which firms adjust their outstanding shares to discriminate between investor groups with different demand elasticities.
