Dynamic equilibrium and the real exchange rate in a spatially separated world

Two homogeneous stocks of physical capital are located in twodifferent countries, separated by an 'ocean.' They are consumedby local residents, invested in a random production processyielding real returns, or transferred abroad. Under proportionaltransfer costs, trade, consumption and capital imbalances areshown to be persistent. The heteroskedastic process for therelative price of capital in the two countries has a nonlinear,mean-reverting drift. Nevertheless, the conditional probabilityof the price moving from the parity value of unity is greaterthan the probability of it moving toward parity. The real interest-ratedifferential incorporates a simple risk premium.     

Sharing the Spoils: Taxing International Human Capital Flows

This paper argues that cross-border human capital flows from developing countries to developed countries over the next half-century will demand a new set of policy responses from developing countries. The paper examines the forces that are making immigration policies more skill-focused, the effect of both flows (emigration) and stocks (diasporas) on the source countries, and the range of taxation instruments available to source countries to manage the consequences of those flows. This paper emphasizes the example of India, a large source country for human capital flows, and the United States, an important destination for these human capital flows and an example of how a country can tax its citizens abroad. In combination, these examples point to the significant advantage to developing countries of potential tax schemes for managing the flows and stocks of citizens who reside abroad. Finally, this paper concludes with a research agenda for the many questions raised by the prospect of large flows of skilled workers and the policy alternatives, including tax instruments, available to source countries.     

Does institutional ownership matter for international stock return comovement?

We study the link between international stock return comovements and institutional investment. We test whether the rise of institutional ownership has increased cross-country correlations and decreased cross-industry correlations. Using stock-level institutional holdings across 45 countries during the 2001–2010 period, we find that industry and global factors are relatively more important the country factors in explaining stock return variation among stocks with higher institutional ownership. Industry diversification strategies are more beneficial than country diversification strategies for stocks with high institutional ownership. We show that cross-border portfolio investment is a powerful force of international capital market integration and convergence of asset prices.     

The Cost of Capital of Cross‐listed Firms

This paper analyses the cost of capital of firms with foreign equity listings. Our purpose is to shed light on the question whether international and domestic asset pricing models yield a different estimate of the cost of capital for cross‐listed stocks. We distinguish between (i) the multifactor ICAPM of Solnik (1979) and Sercu (1980) including both the global market portfolio and exchange rate risk premia and (ii) the single factor domestic CAPM. We test for the significance of the cost of capital differential in a sample of 336 cross‐listed stocks from nine countries in the period 1980–99. Our hypothesis is that the cost of capital differential is substantial for firms with international listings, as these are often large multinationals with a strong international orientation. We find that the asset pricing models yield a significantly different estimate of the cost of capital for only 12% of the cross‐listed companies. The size of the cost of capital differential is around 50 basis points for the US, 80 basis points for the UK and 100 basis points for France.     

推进中韩农业一体化的对策研究

中韩两国具有互补的农业资源,中国入世后将加快农业领域利用外资步伐,中韩农业一体化有利于中韩农业技术合作交流,这些都是中韩农业一体化的有利条件。但是中韩农业一体化也将给两国农业带来一定的冲击,中韩农业一体化还存在诸多的障碍。因此,中韩两国应按照比较优势原则调整农业结构,促进两国农业和谐发展与共赢;建立两国共同的粮食储备机制,消除韩国对粮食安全问题的顾虑等,以促进中韩农业一体化进程。     

Information and the Cost of Capital

We investigate the role of information in affecting a firm's cost of capital. We show that differences in the composition of information between public and private information affect the cost of capital, with investors demanding a higher return to hold stocks with greater private information. This higher return arises because informed investors are better able to shift their portfolio to incorporate new information, and uninformed investors are thus disadvantaged. In equilibrium, the quantity and quality of information affect asset prices. We show firms can influence their cost of capital by choosing features like accounting treatments, analyst coverage, and market microstructure.     

Importing technology

We look at disaggregated imports of various types of equipment to make inferences on cross-country differences in the composition of equipment investment. We make three contributions. First, we document strikingly large differences in investment composition. Second, we explain the differences as being based on each equipment type's degree of complementarity with other factors whose abundance differs across countries. Third, we show that the composition of capital has the potential to account for some of the large observed differences in TFP across countries.     

Productivity Spillovers Through Foreign Transactions: The Role of Sector Composition and Local Conditions

We analyze the roles of inward foreign direct investment (FDI) and imports of capital goods as the main drivers of technology diffusion and productivity improvement in a sample of twenty-eight developing economies for the period 1999-2009. We examine changes in the sectoral composition of FDI as well as those local conditions that may facilitate technology adoption. Our results, obtained by the system generalized method of moments estimation method, suggest that the change of FDI from manufacturing to services is productivity enhancing. We also find that those countries with stronger institutions and better social and human development enjoy larger efficiency gains.     

International variation in sin stocks and its effects on equity valuation

We examine the impact of differences in time varying social views towards sin stocks across G20 nations on firm valuation and excess returns. Sin stocks have an 8% lower equity valuation in countries where society is strongly against such industries. After controlling for other factors, sin stocks have excess returns of about 1–2% annually. However, these returns are largely arbitraged away in nations without capital and investment controls, but persist in countries with capital restrictions. These results are robust to proxies for litigation risk, transparency, growth opportunities, sin measures, and alternative measures of firm valuation.     

首次公开募股(IPO)市场表现及破发影响——基于港市中资股的经验证据

以在港上市中资股2013—2019年的数据为研究样本,首先,基于典型事件分析中资股在境外资本市场的整体表现;然后,采用多元回归模型实证检验破发、市场状况及投资者态度等因素对中资股市场表现的影响。研究结果表明：相较于恒生指数,港市中资股IPO上市后两年内的整体市场表现处于劣势;IPO破发不利于后期市场的表现,破发股的整体市场表现差于非破发股;投资者行为是市场表现的重要影响因素之一,投资者意见分歧会对中资股的市场表现产生正向影响;新股上市前的市场环境越好,中资股IPO上市后的市场表现会越好。     

The world price of home bias

Theoretical arguments suggest that as the degree of a country's home bias increases, the global risk sharing between domestic and foreign investors will reduce and thereby increase the country's cost of capital. Consistent with this prediction, we find international differences in the cost of capital to be strongly and positively related to varying degrees of home bias for 38 markets. This finding is robust to different cost of capital proxies, different control variables, alternative home-bias measures, international tradability of stocks, and alternative specifications. Therefore, the overall evidence implies that countries may enjoy a significantly lower cost of capital by reducing the extent of their home bias and hence, increasing global risk sharing.     

Prediction of return with the minimum variance zero-beta portfolio

This paper tests prediction of returns on stocks using a direct estimate of the minimum variance zero beta portfolio z. The composition of this portfolio is implicit in Black's paper on capital market equilibrium in the absence of riskless borrowing or lending. Portfolios of stocks drawn from the same industries are used to estimate z. The predictions of Black's equilibrium return equation are compared with those of cross-sectional regressions of return on risk.     

Seeking Capital Abroad: Motivations,Process, and Suggestions for Success

Until fairly recently, the ownership of companies has remained largely with investors in home countries with stocks listed only on domestic exchanges. But a growing number of firms are now raising equity capital on foreign stock exchanges in response to opportunities created by the increasing integration of global capital markets. The authors identify several reasons why seeking capital abroad is an attractive strategy for companies, including greater access to capital, a more liquid share price, easier means of offering employees equity interests in the firm, greater opportunities to make acquisitions, and at least the potential for a stronger reputation and higher valuation, stemming in part from better governance law and greater protection for minority investors in certain jurisdictions. But along with such potential benefits, companies that raise capital abroad also inevitably face liabilities of foreignness (LOF) in their dealings with foreign investors and capital markets. The authors propose a number of ways of minimizing such liabilities, that including signalling the firm's commitment to strengthening its internal governance system, adopting host country business practices, and enlisting the help of reputational intermediaries.     

股份回购与国有股减持

股份回购是西方发达国家成熟资本市场中常用一种的运作方法，在我国则是一种金融创新。我国股份回购有着特殊的使命-减持国有股。本文着重分析股份回购在国有股减持中的重要作用、运用条件、运用方式以及运用效果的实证研究。     

The implied liquidity premium for equities

Over the long term, the returns on smaller stocks are likely to be higher than the returns on larger stocks. This phenomenon has been called size effect, and a number of explanations have been proposed to account for it. Here we show that the difference in return between the larger and the smaller stocks can be accounted for by a liquidity premium for the smaller stocks, and we estimate the value of this premium using structural parameters for the capital distribution of the U.S. stock market during the 1990s The authors wish to express their gratitude to an anonymous referee for a very thorough and incisive reading, as well as for many constructive suggestions that have significantly improved this paper. The authors wish to express their gratitude to an anonymous referee for a very thorough and incisive reading, as well as for many constructive suggestions that have significantly improved this paper.     

Estimation of global systematic risk for securities listed in multiple markets

In this era of rapid globalization of financial markets there has been a substantial increase in cross-listings of stocks in foreign and regional capital markets. As many as a third to a half of the stocks in some major exchanges are foreign listed. The multiple listings of stocks has major implications for the concept of systematic risk. This paper demonstrates that the estimator for systematic risk and the methodology itself changes when stocks are listed in multiple markets. The paper suggests general procedures, using maximum information from the multiple markets, to obtain the estimator of beta under a variety of assumptions about the error terms of the market models in the different capital markets. The assumptions pertain both to the volatilities of the abnormal returns in each market, and to the relationship between the markets.     

Stock recommendations and investment portfolio formation: A study in the Brazilian market

The stock analysts have a relevant role in the capital market, since, directly or indirectly, they contribute to the paper pricing and to the composition of the investment portfolio. The purpose of this study is to verify if it is possible to obtain extraordinary returns, above those offered by a market portfolio, with the monitoring of the stock recommendations issued by Brazilian capital market analysts, one of the most important in Latin America. Based on a wide range of consensual recommendations concerning the period from 2000 to 2010, and with the monitoring of the historical series of paper returns covered by the analyses, the performance of two portfolios were compared, one formed by stocks that received favorable and the other one formed by stocks that received unfavorable analyst recommendations. The results showed bias in recommendations, since there is, systematically, a greater number of favorable against unfavorable recommendations. The results mainly showed that the analysts were unable to identify the stocks that actually offered greater returns within the period considered.     

Women's Liberation as a Financial Innovation

In one of the greatest extensions of property rights in human history, common law countries began giving rights to married women in the 1850s. Before this “women's liberation,” the doctrine of coverture strongly incentivized parents of daughters to hold real estate, rather than financial assets such as money, stocks, or bonds. We exploit the staggered nature of coverture's demise across U.S. states to show that women's rights led to shifts in household portfolios, a positive shock to the supply of credit, and a reallocation of labor toward nonagriculture and capital‐intensive industries. Investor protection thus deepened financial markets, aiding industrialization.     

制造业外商直接投资技术溢出效应研究

论文认为跨国公司在中国采取了各种技术控制手段来削减或杜绝这种直接投资带来的积极效应,甚至引起技术的逆向扩散。通过实证分析,认为从总体上来看,外资在制造业的溢出效应还比较明显;按照内外资技术差距进行分组检验,发现技术差距大的一组中,外资的溢出效应不显著;按照外资企业开放度来分组进行研究,结果发现,外资的显著性都不高,这说明在我国,外资企业的开放程度对溢出效应的影响不明显。     

THE MARKET REACTION TO THE 1986 TAX OVERHAUL: A STUDY OF THE CAPITAL GAIN TAX CHANGE

The Tax Reform Act of 1986 (TRA) eliminated the favorable tax treatment on long-term capital gains in the US. Using a standard event study… CONTENTS AND ABSTRACTS 111 methodology, this paper examines daily stock return reactions to the tax overhaul. The results show that high dividend yield stocks earned a significant positive abnormal return and low yield stocks a significant negative return during the legislation period. This finding is consistent with the notion that the TRA made the market valuation of stocks shift in favor of high yield stocks.