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An Empirical Comparison of Alternative Models of the Short-Term Interest Rate
The authors estimate and compare a variety of continuous-time models of the short-term riskless rate using the Generalized Method of Moments. The authors find that the most successful models inExpand
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The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the United States
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, and an additional 1.20 percentExpand
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Why Do Companies List Shares Abroad?: A Survey of the Evidence and Its Managerial Implications
The purpose of this monograph is to survey the academic literature on the economic implications of the corporate decision to list shares on an overseas stock exchange. My focus is on the valuationExpand
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The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom
There has long prevailed a conventional wisdom rationalizing why firms pursue overseas listings. It argues that firms seek such opportunities to benefit from a lower cost of capital that arisesExpand
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Why Do Countries Matter so Much for Corporate Governance?
This paper develops and tests a model of how country characteristics, such as legal protections for minority investors and the level of economic and financial development, influence firms' costs andExpand
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Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements
This article explores the fundamental factors that affect cross-country stock return correlations. Using transactions data from 1988 to 1992, the authors construct overnight and intraday returns forExpand
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Understanding Commonality in Liquidity Around the World
We examine how commonality in liquidity varies across countries and over time in ways related to supply determinants (funding liquidity of financial intermediaries) and demand determinantsExpand
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Multi-Market Trading and Arbitrage
We measure arbitrage opportunities by comparing the intraday prices and quotes of American Depositary Receipts (ADRs) and other types of cross-listed shares in U.S. markets with synchronous prices ofExpand
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A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada
This study examines the short-run dynamics of returns and volatility for stocks traded on the New York and Toronto stock exchanges. The main finding is that inferences about the magnitude andExpand
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What Factors Drive Global Stock Returns?
Using monthly returns for over 27,000 stocks from 49 countries over a three-decade period, we show that a multifactor model that includes factor-mimicking portfolios based on momentum and cashExpand
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