For individual stocks of 46 countries, this study investigates empirical differences in discount ... more For individual stocks of 46 countries, this study investigates empirical differences in discount rate estimates between three risk-return models of interest to managers who perform discounted cash flow valuation analysis: (1) the traditional (local) CAPM; (2) the global CAPM (GCAPM), where the only risk factor is the global market index; and (3) an international CAPM (ICAPM) with two risk factors, the global market index and a wealth-weighted foreign currency index. The study finds that model choice makes a substantial difference for many, but not all, countries.
This paper presents empirical analysis of the factors that affect a firm's decision to use a... more This paper presents empirical analysis of the factors that affect a firm's decision to use a clawback provision in debt and the yield impact of including the clawback provision. The results show that relatively smaller firms with low credit rating and low profitability favor the ...
This article analyses stock market reactions to election polls. Stock markets anticipate the impa... more This article analyses stock market reactions to election polls. Stock markets anticipate the impact of events on future cash flows. Current values depend on future cash flows and risk prospects. We posit that election polls are indications of the political platforms that are expected to win elections. Given the traditional philosophical differences between the Republican and the Democratic Parties, and
Using a system of equations approach, this paper empirically tests the impact of credit quality, ... more Using a system of equations approach, this paper empirically tests the impact of credit quality, asset maturity, and other issuer and issue characteristics on the maturity of municipal bonds. We find that under conditions of lower information asymmetry that prevails in the municipal sector, higher-rated bonds have longer maturities than low-rated bonds. This result differs from that observed in the corporate sector. Overall, our results support the asset maturity
AbstractAmerican Depositary Receipts (ADRs) represent foreign company shares that trade in US sto... more AbstractAmerican Depositary Receipts (ADRs) represent foreign company shares that trade in US stock exchanges. There are thousands of ADRs listed on US stock exchanges. Some of them represent shares of seasoned companies while others are initial public offerings (IPOs). The purpose of this study is to analyze the after-market performance of these ADR IPOs. The main emphasis is on the impact of the volume of shares allocated to the US markets, the use of the IPO proceeds and the corporate governance structure of the ADR issuer on the performance over several years after the IPO. The results show that while allocation, use of proceeds and corporate control have minimal impact on performance, other fundamental factors such as country of origin, industry and risk play more prominent role.Keywords: Initial Public offering IPO, Proceeds, Corporate Controls, American Depository Receipt ADR.IntroductionAmerican Depositary Receipts (ADRs) are negotiable instruments representing foreign compa...
Sponsored loans are issued with the assistance of private equity firms, which negotiate terms on ... more Sponsored loans are issued with the assistance of private equity firms, which negotiate terms on behalf of the borrower. We analyze the impact of engaging private equity sponsors on the cost of syndicated loans and the value added by loan sponsors. We find that sponsorship is associated with complex transactions with syndicates, issues with greater degree of information asymmetry and issues without covenants and lower credit ratings. As such, the cost of the loans with sponsors is higher on the average than those without sponsors. Stock price reaction to syndicated loans is positive and significant, and it is more pronounced for sponsored syndicated loans. Although sponsored debts cost more than non-sponsored debts, the sponsors help to bring the debt issue to the market, which might not happen otherwise. By enabling high risk firms to raise capital, they contribute value that is recognized through positive stock price reaction. Introduction The purpose of this study is to examine t...
ERN: Other Econometric Modeling: International Financial Markets - Emerging Markets (Topic), 2013
This study examines dynamic linkages between the exchange rates and stock prices for twelve emerg... more This study examines dynamic linkages between the exchange rates and stock prices for twelve emerging market countries for the period from May 1994 to April 2010 by using linear and non-linear Granger causality tests. Our empirical results show that stock prices and exchange rates have linear and non-linear bi-directional causality in most cases. The exceptional countries are Brazil, Poland and Taiwan that there is no evidence for a nonlinear Granger causality from stock prices to exchange rates. The results support both the portfolio balance and the goods market theories for eight out of twelve countries.
Besides the social and economic benefits of increasing minority employment and supporting minorit... more Besides the social and economic benefits of increasing minority employment and supporting minority-owned businesses, hospitals can make a positive difference by bringing true diversity to urban hospital board structures. These boards of directors, now underrepresented by the minority populations of their communities, have the power and influence to determine the priorities of their institutions. Hospitals often are the largest employers in their communities and, as such, have the social responsibility of serving their communities in an equitable manner. This work primarily focuses on the data collected and analyzed regarding minority representation in the following areas: hospital governance; administrative and professional employment opportunities at the hospitals; and hospital purchasing practices.
This paper investigates the impact of ADR listing on the trading volume and volatility of the dom... more This paper investigates the impact of ADR listing on the trading volume and volatility of the domestic market. Existing theories indicate that trading shifts to a market with lower transaction costs, and the level of volatility is directly related to the level of trading activity. The analyses provide empirical evidence showing increase in both trading volume and price volatility in the domestic market after ADR listing. The increase in volatility is attributed to noise resulting from public information as opposed to from increased trading friction. This suggests improvement in liquidity following ADR listing. Comparison across country groups indicates marginally higher gain for emerging market stocks although the difference is not statistically significant. Auction type markets gain more in terms of increase in trading volume than dealer type markets (JEL: G15, N20).
For individual stocks of 46 countries, this study investigates empirical differences in discount ... more For individual stocks of 46 countries, this study investigates empirical differences in discount rate estimates between three risk-return models of interest to managers who perform discounted cash flow valuation analysis: (1) the traditional (local) CAPM; (2) the global CAPM (GCAPM), where the only risk factor is the global market index; and (3) an international CAPM (ICAPM) with two risk factors, the global market index and a wealth-weighted foreign currency index. The study finds that model choice makes a substantial difference for many, but not all, countries.
This paper presents empirical analysis of the factors that affect a firm's decision to use a... more This paper presents empirical analysis of the factors that affect a firm's decision to use a clawback provision in debt and the yield impact of including the clawback provision. The results show that relatively smaller firms with low credit rating and low profitability favor the ...
This article analyses stock market reactions to election polls. Stock markets anticipate the impa... more This article analyses stock market reactions to election polls. Stock markets anticipate the impact of events on future cash flows. Current values depend on future cash flows and risk prospects. We posit that election polls are indications of the political platforms that are expected to win elections. Given the traditional philosophical differences between the Republican and the Democratic Parties, and
Using a system of equations approach, this paper empirically tests the impact of credit quality, ... more Using a system of equations approach, this paper empirically tests the impact of credit quality, asset maturity, and other issuer and issue characteristics on the maturity of municipal bonds. We find that under conditions of lower information asymmetry that prevails in the municipal sector, higher-rated bonds have longer maturities than low-rated bonds. This result differs from that observed in the corporate sector. Overall, our results support the asset maturity
AbstractAmerican Depositary Receipts (ADRs) represent foreign company shares that trade in US sto... more AbstractAmerican Depositary Receipts (ADRs) represent foreign company shares that trade in US stock exchanges. There are thousands of ADRs listed on US stock exchanges. Some of them represent shares of seasoned companies while others are initial public offerings (IPOs). The purpose of this study is to analyze the after-market performance of these ADR IPOs. The main emphasis is on the impact of the volume of shares allocated to the US markets, the use of the IPO proceeds and the corporate governance structure of the ADR issuer on the performance over several years after the IPO. The results show that while allocation, use of proceeds and corporate control have minimal impact on performance, other fundamental factors such as country of origin, industry and risk play more prominent role.Keywords: Initial Public offering IPO, Proceeds, Corporate Controls, American Depository Receipt ADR.IntroductionAmerican Depositary Receipts (ADRs) are negotiable instruments representing foreign compa...
Sponsored loans are issued with the assistance of private equity firms, which negotiate terms on ... more Sponsored loans are issued with the assistance of private equity firms, which negotiate terms on behalf of the borrower. We analyze the impact of engaging private equity sponsors on the cost of syndicated loans and the value added by loan sponsors. We find that sponsorship is associated with complex transactions with syndicates, issues with greater degree of information asymmetry and issues without covenants and lower credit ratings. As such, the cost of the loans with sponsors is higher on the average than those without sponsors. Stock price reaction to syndicated loans is positive and significant, and it is more pronounced for sponsored syndicated loans. Although sponsored debts cost more than non-sponsored debts, the sponsors help to bring the debt issue to the market, which might not happen otherwise. By enabling high risk firms to raise capital, they contribute value that is recognized through positive stock price reaction. Introduction The purpose of this study is to examine t...
ERN: Other Econometric Modeling: International Financial Markets - Emerging Markets (Topic), 2013
This study examines dynamic linkages between the exchange rates and stock prices for twelve emerg... more This study examines dynamic linkages between the exchange rates and stock prices for twelve emerging market countries for the period from May 1994 to April 2010 by using linear and non-linear Granger causality tests. Our empirical results show that stock prices and exchange rates have linear and non-linear bi-directional causality in most cases. The exceptional countries are Brazil, Poland and Taiwan that there is no evidence for a nonlinear Granger causality from stock prices to exchange rates. The results support both the portfolio balance and the goods market theories for eight out of twelve countries.
Besides the social and economic benefits of increasing minority employment and supporting minorit... more Besides the social and economic benefits of increasing minority employment and supporting minority-owned businesses, hospitals can make a positive difference by bringing true diversity to urban hospital board structures. These boards of directors, now underrepresented by the minority populations of their communities, have the power and influence to determine the priorities of their institutions. Hospitals often are the largest employers in their communities and, as such, have the social responsibility of serving their communities in an equitable manner. This work primarily focuses on the data collected and analyzed regarding minority representation in the following areas: hospital governance; administrative and professional employment opportunities at the hospitals; and hospital purchasing practices.
This paper investigates the impact of ADR listing on the trading volume and volatility of the dom... more This paper investigates the impact of ADR listing on the trading volume and volatility of the domestic market. Existing theories indicate that trading shifts to a market with lower transaction costs, and the level of volatility is directly related to the level of trading activity. The analyses provide empirical evidence showing increase in both trading volume and price volatility in the domestic market after ADR listing. The increase in volatility is attributed to noise resulting from public information as opposed to from increased trading friction. This suggests improvement in liquidity following ADR listing. Comparison across country groups indicates marginally higher gain for emerging market stocks although the difference is not statistically significant. Auction type markets gain more in terms of increase in trading volume than dealer type markets (JEL: G15, N20).
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