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  • Jeffrey Wurgler, Alexandre Aganine, +12 authors Katia Zhuravskaya
  • 1999
Financial markets appear to improve the allocation of capital – across 65 countries, those with developed financial markets increase investment more in growing industries, and decrease investment more in declining industries, than financially undeveloped countries. The efficiency of capital allocation is also negatively correlated with the extent of state(More)
At the end of 1997, the foreign companies listed in the U.S. have a Tobin's q ratio that exceeds by 16.5% the q ratio of firms from the same country that are not listed in the U.S. The valuation difference is statistically significant and largest for exchange-listed firms, where it reaches 37%. The difference persists even after controlling for a number of(More)
We study return volatility and trading volume at times of earnings announcements to see if the increased disclosure faced by non-U.S. firms when listing shares in the U.S. has economically significant consequences. We find a surprising change in market behavior around earnings releases: return and volume reactions to earnings announcements typically(More)
This paper reexamines the extent to which gains from international diversification are due to differences in industrial structure across countries. Economics 36, 3—27 investigate this issue and find conflicting evidence. Using a new database, the Dow Jones World Stock Index, with coverage in 25 countries and over 66 industry classifications, we decompose(More)
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(More)
In most cases authors are permitted to post their version of the article (e.g. in Word or Tex form) to their personal website or institutional repository. Authors requiring further information regarding Elsevier's archiving and manuscript policies are encouraged to visit: Abstract This paper develops and tests a model of how country characteristics, such as(More)
In this paper, we develop and test a theoretical model of multi-market trading to explain the differences in the foreign share of trading volume of internationally cross-listed stocks. The model derives an equilibrium which predicts that, under fairly general conditions, the distribution of trading volume across exchanges competing for order flow is related(More)
Let A = {a 1 ,. .. , a k } and B = {b 1 ,. .. , b k } be two subsets of an Abelian group G, k ≤ |G|. Snevily conjectured that, when G is of odd order, there is a permutation π ∈ S k such that the sums a i + b π(i) , 1 ≤ i ≤ k, are pairwise different. Alon showed that the conjecture is true for groups of prime order, even when A is a sequence of k < |G|(More)
We estimate and compare a variety of continuous-time models of the short-term riskless rate using the generalised method of moments. We find that the most successful models in capturing the dynamics of the short-term interest rate are those that allow the volatility of interest rate changes to be highly sensitive to the level of the riskless rate. A number(More)