Long‐term Performance of Greek IPOs

We analyse the long‐run performance of 254 Greek IPOs that were listed during the period 1994–2002, computing buy‐and‐hold abnormal returns (BHAR) and cumulative abnormal returns (CAR) over 36 months of secondary market performance. The empirical results differ from international evidence and reveal long‐term overperformance that continues for a substantial interval after listing. Measuring these returns in calendar time, we find statistical significance with several of the benchmarks employed. We also find that long‐term overperformance is a feature of the mass of IPOs conducted during a pronounced IPO wave. Cross‐sectional regressions of long‐run performance disclose several significant factors. The study demonstrates that although Greek IPOs overperform the market for a longer period, underperformance eventually emerges, in line with much international evidence. Our interpretation is that the persistence of overperformance over a significant interval is due to excessive supply of issues during the ‘hot IPO period’. Results associated with pricing during the ‘hot IPO period’ indicate positive short‐ (1‐year), medium‐ (2‐year) and negative long‐term (3‐year) performance.     

The Determinants of Execution Costs in Short‐Term Money Markets

Prior research attributes the observed negative relation between execution costs and trade size in opaque markets to two factors—information asymmetry and broker‐client relationships. We provide evidence that a trader's ex ante transaction price information and the relationship traders have with their brokers are both significant determinants of a trader's execution costs in an opaque market; however, traders who establish strong relationships with their brokers will achieve a greater reduction in execution costs than traders with ex ante transaction price information. We also find evidence that trade size has little explanatory power after controlling for a trader's ex ante transaction price information and broker‐client relationships.     

Macroeconomic Announcements and the Distribution of Price-Endings in the U.S. Treasury Market

We investigate how new information impacts quote clustering in the bond market. We find that clustering, along with quote activity, price volatility and bid-ask spreads, increases sharply in the minutes following releases of macroeconomic news. Each returns to near-normal levels within the hour. Effects are strongest for more liquid on-the-run notes and for the announcements typically associated with substantial information flow. The strong positive comovement of clustering, quote activity, price volatility, and bid-ask spreads supports the conclusion that innovations of these variables are endogenous to the arrival and incorporation of information into prices.     

Spillover and Cojumps Between the U.S. and Chinese Stock Markets

There is an urgent need to understand the spillover and cojump effects between the U.S. and Chinese stock markets. The paper finds that since July 2005, the U.S. stock market has caused short-run spillover effects on returns on the Chinese stock market. More specifically, price changes in the United States can be used to predict both closing-to-opening and closing-to-closing returns on the Chinese stock market on the next day. However, there is no significant volatility spillover between the two markets. Both markets have shown stronger cojump behavior since the subprime crisis. The return relationships between the two stock markets are robust.     

Information in the U.S. Treasury Term Structure of Interest Rates

We provide evidence of a significant change in the information content of the U.S. Treasury term structure of interest rates over the last 20 years. We apply a regression approach to measure the information in forward interest rates and introduce both a curve fitting method and an alternative data source. We find more information in the recent U.S. Treasury term structure about future interest rates than about expected holding period returns. These results document a significant departure from prior empirical findings.     

The Effects of Foreign Trading of U.S. Treasuries

We examine the effects of foreign trading of U.S. Treasuries on the market's microstructure. Two intervals, the first characterized by heavy run‐ups in foreign ownership (1/1994–6/1997), and the second by multiple indicators of peaking of foreign ownership (7/1997–2000), are followed. Our findings reveal systematic effects associated with foreign trading. For instance, reductions in liquidity and trade sizes, and increases in informational asymmetry and dealer risk aversion, accompany falling demand for Treasury debt. Moreover, in this environment, foreign trading volume plays a larger explanatory role about the market's microstructure, than in an environment of rising demand. We also find dealer reactions to foreign transactions vary across the term‐structure.     

IPO Pricing,Block Sales,and Long‐Term Performance

Block sales following IPOs are related to the IPOs' value relative to an estimate of intrinsic value, opening‐trade return, and IPO size. Overvalued IPOs experience more block sales than undervalued IPOs. IPOs with high block sales outperform IPOs with low block sales from 20 days after IPO through lockup expiration; however, IPOs with high block sales underperform IPOs with low block sales from lockup expiration through the third year after the IPO. The results indicate that block traders are advantaged relative to other traders; whether the advantage is based on superior information or superior valuation capabilities is unknown.     

The Role of U.S. Market on International Risk‐Return Tradeoff Relations

We study the intertemporal risk‐return tradeoff relations based on returns from 18 international markets. We find striking new empirical evidence that the inclusion of U.S. market returns significantly changes the estimated risk‐return tradeoff relations in international markets from mostly negative to predominantly positive. Our results are consistent with the lead‐lag effect between U.S. and international markets in the sense of Rapach, Strauss and Zhou.     

Return Characteristics of State‐Owned and Non‐State‐Owned Chinese A Shares

This study examines and compares stock returns and volatilities between state‐owned (SO) and non‐state‐owned (NSO) firms on the Shanghai and Shenzhen stock exchanges. Results vary significantly by exchange. Returns for both firm types, on both exchanges, exhibit negative skewness and high kurtosis inconsistent with a normal distribution. Returns display significant autocorrelation, even after the removal of lower‐order effects. Granger causality tests reveal that Shenzhen returns significantly lead Shanghai returns. Within both exchanges, SO firms lead NSO firms. Neither SO nor NSO firm shares are dominated in terms of second‐order stochastic dominance.     

On the Publicity of Two‐Stage Spin‐Offs and Equity Carve‐Outs

We investigate the effect of pre‐offer publicity on ownership, pricing, and aftermarket performance for equity carve‐outs (ECOs) and two‐stage spin‐offs (COSOs). Contrary to ECOs, for COSOs the parent firm's shareholders end up with free shares in the subsidiary. As the value of large share blocks is likely to be negatively affected by the emergence of new blocks after the divestiture, we hypothesize that parent firms undertaking COSOs may conduct more pre‐offer publicity to attract more retail investors, keeping outside ownership diffuse and inflating aftermarket performance until the distribution of the free shares. We find empirical support for our hypotheses.     

Marketing Closed‐End Fund IPOs: An Analysis of the International Stock Funds

Various studies argue that underwriting fees are excessive and investment bankers prolong the price stabilization period in aftermarket trading of closed‐end fund (CEF) shares. The poor performance of these funds also raises questions about the financial sophistication of initial public offering (IPO) buyers. In this study, we examine these issues for a sample of international stock CEFs. Our findings indicate that underwriting fees are not excessive relative to industrial issues, and we do not find that investment bankers prolong the stabilization period to camouflage the underwriting cost. Our findings are consistent with earlier studies that discounts contribute significantly to the poor performance during the first six months of aftermarket trading.     

The U.S. Share of Trading Volume in Cross‐Listings: Evidence from Canadian Stocks

I analyze the firm‐specific determinants of the U.S. share of trading volume for 126 U.S.‐listed Canadian firms. I find that the U.S. share of volume is directly related to the mass of informed and liquidity traders in the United States relative to Canada, as proxied by relative analyst following, relative duration of listing, and the U.S. share of sales. Evidence also supports the market liquidity argument that the market with lower spreads and greater depths has greater volume. Finally, the U.S. share is directly related to the relative sensitivity of the stock's value to information in the United States.     

Individual investors’ attitudes towards listing requirements for foreign entities on U.S. stock exchanges and the promulgation of international accounting standards

The Securities and Exchange Commission (SEC) currently requires foreign issuers of securities listed on U.S. securities exchanges to either employ U.S. generally accepted accounting principles (U.S. GAAP) or include a statement of reconciliation to U.S. GAAP if they use their home country's accounting standards. With some exceptions, they are also required to comply with the provisions of the Sarbanes-Oxley Act of 2002 (SOA). John Thain, CEO of the New York Stock Exchange, states that these requirements hamper U.S. investments, economic growth, and employment opportunities. The Chairman of the International Accounting Standards Board (IASB), Sir David Tweedie, echoed Thain's comments. An important stakeholder who is affected significantly by the U.S. listing requirements is the U.S. individual investor. Accordingly this study examines their attitudes involving the extant rules for foreign listings on U.S. exchanges and other aspects of the issue. The study also examines their perceptions regarding accounting standard promulgation authority and the use of a global set of accounting principles. The results indicate that although U.S. investors are very much in favor of the listing of foreign companies on U.S. exchanges, they also endorse the current rule requiring either employment of U.S. GAAP or reconciliation to it as well as mandatory adherence to the SOA. In the area of accounting standards, although a large majority believed that the U.S. should control the accounting standards for U.S. listings, a smaller majority also believed that there should be a universal set of accounting principles for all stock exchanges.     

Degree of Multinationality and Financial Performance: A Study of U.S.-Based Multinational Corporations

This paper examines the marginal benefits that accrue to U.S.-based multinational corporations through increased international investment. Specifically, the study seeks to determine if increased degrees of multinationality produce additional benefits for multinational firms in terms of excess returns and/or reduced risk. The results indicate that during the period studied, the degree of multinationality did not have a significant influence on the risk and return performance of the sample firms. Thus, the study supports the findings of Qian (1996) and Siegel et al. (1995, 1995A) who report that the advantages enjoyed by multinational corporations may be going away.     

Procyclicality of U.S. Bank Leverage

In light of the current debate about the link between accounting and financial stability, we investigate the determinants of procyclical book leverage for U.S. commercial and savings banks. We find that total asset growth and GDP growth are both positively related to book leverage growth. Our evidence is not consistent with the notion that fair value accounting contributes to procyclical leverage or that historical cost accounting reduces procyclicality. Overall, the business model of banks is more important for procyclical leverage than accounting or regulatory risk weights.     

Measuring the distribution of material well-being: U.S. trends

Economists with a few exceptions have automatically assumed that the important measure of well-being is income. In contrast, economic historians have broadened the measure of well-being with particular interest in mortality, morbidity, nutrition, education and leisure. When one takes this broader view of the standard of living, there appears to be a strong trend toward more equality in the distribution of well-being since the industrial revolution.Gini coefficients calculated for the distributions of lifespan and educational attainment have declined dramatically since the mid-nineteenth century for the United States. Mortality and educational differentials have also declined. Inequality of leisure time and consumption, though not as consistently measured, also show trends toward equality over the twentieth century.These trends toward equality in well-being as measured by indicators other than income and wealth seem to be generated by provision of public goods, natural boundaries to lifespan, educational attainment and leisure, and by the growth in mean per capita income. The divergent trends in the distributions of income and the other measures of well-being caution against reliance on the distribution of income to interpret trends in inequality.     

R&D Increases and Long‐Term Performance of Rivals

We examine how a firm's research and development (R&D) increases affect its intra‐industry competitors in the long run. Consistent with the R&D spillover hypothesis, when a firm unexpectedly increases its R&D spending, its intra‐industry competitors experience improvements in operating performance and analyst forecast revisions and earn positive abnormal stock returns in the long run. The industry concentration, which is related to the firm's strategic reaction, is crucial in determining the magnitude of the R&D spillover effect.     

Investment‐Specific News Shocks and U.S. Business Cycles

We provide robust evidence that news shocks about future investment‐specific technology (IST) constitute a significant force behind U.S. business cycles. Positive IST news shocks induce comovement, that is, raise output, consumption, investment, and hours. These shocks account for 70% of the business cycle variation in output, hours, and consumption, and 60% of the variation in investment, and have played an important role in 9 of the last 10 U.S. recessions. Our findings provide strong support for shifting focus to IST news shocks when investigating the role of news in driving U.S. business cycles.     

Investor Recognition and Post‐Acquisition Performance of Acquirers

The literature has documented a negative relation between investor recognition and expected returns. This negative relation is consistent with the prediction in Merton (1987, Journal of Finance 42, 483–510). This paper investigates whether the changes in investor recognition of acquirers around the time of the acquisitions can explain the post‐acquisition underperformance of acquirer stocks. Using a large sample of U.S. acquisitions from 1980 to 2010, this paper finds that investor recognition, proxied by the number of institutional investors and the number of common shareholders, increases significantly during acquisitions. Once the increases in investor recognition are controlled for, the “puzzling” long‐run underperformances of acquirers disappears.     

Exits,Performance, and Late Stage Private Equity: the Case of UK Management Buy‐outs

Using a hand‐collected dataset of 1,225 buy‐outs, we examine post buy‐out and post exit long term abnormal operating performance of UK management buy‐outs, during the period 1980–2009. Our univariate and panel data analysis of post buy‐out performance conclusively show positive changes in output. We also find strong evidence for improvements in employment and output and a lack of significant changes in efficiency and profitability following initial public offerings (IPO) exits. IPOs from the main London Stock Exchange (LSE) market outperform their counterparts from the Alternative Investment Market (AIM) only in terms of changes in output. For secondary management buy outs (SMBOs), performance declines during the first buy‐out but in the second buy‐out performance stabilises until year three, after which profitability and efficiency fall while employment increases. Although private equity (PE) backed buy‐outs do not exhibit either post buy‐out or post exit underperformance, they fail to over‐perform their non‐PE backed counterparts. In the subsample of buy‐outs exiting via IPOs on the AIM, PE firms do not outperform non‐PE buy‐outs. Our findings highlight the importance of tracing the overall performance of buy‐outs over a longer period and controlling for sample selection bias related to the provision of PE backing.