Ownership of Cross–Listed Equities: An Investigation of Turnover, Diversification, and Risk

Using data for a sample of Malaysian stocks that are traded in both Malaysia and Singapore, we show that the turnover rate (trading volume relative to shares held) is significantly higher in the foreign market than in the domestic market. We also find that ownership of cross–listed shares by foreign investors is not motivated by diversification benefits. Instead, we find that the proportion of a firm's shares held in Singapore is directly related to the firm's level of systematic risk.     

Cross-Listings and Home Market Trading Volume: The Case of Malaysia and Singapore

Cross‐listings of equities internationally are becoming more common. Using data for Europe and North America, previous studies reject the order flow diversion hypothesis, which states that international cross‐listings reduce home‐country trading volume. We test this hypothesis using data for equities cross‐listed in Singapore and Malaysia. We find that trading volume in Malaysia fell 42.9% when Singapore markets were closed for holidays. Furthermore, we show that trading volume in Malaysia did not increase following the implementation of regulations that ended the trading of Malaysian equities in Singapore in 1998. Hence, we reject the order flow diversion hypothesis.     

Does proximity matter in international bond underwriting?

In this study, we analyze a sample of 3982 international bond issues from 31 countries to examine the impact of geographic proximity on the selection of lead underwriter in the international bond market. We find that proximate banks are more likely to lead underwrite risky bonds and non-rated bonds. On average, the total issue cost is lower if the lead underwriter is a proximate bank. The overall results suggest that geographically proximate banks have better access to private information about issuing companies. We also find that the cost reduction effect of proximate underwriting only appears in developed markets. In addition, this cost reduction effect is relatively weak in countries with a legal system that provides good investor protection.     

TRADING OF NASDAQ STOCKS ON THE CHICAGO STOCK EXCHANGE

We use a linear programming model to form two portfolios with approximately equal levels of attributes such as financial leverage. One portfolio comprises stocks that trade exclusively on NASDAQ and the other, stocks that trade on both the Chicago Stock Exchange (CSE) and NASDAQ (CSE/NASDAQ). We find that spreads are lower for the CSE/NASDAQ portfolio, but so is the percentage of quotes at spreads of $0.125. In fact, the lower spreads observed for the CSE/NASDAQ portfolio arise from fewer quotes with spreads of more than $0.25.     

An Analysis of Transactions Data for the Stock Exchange of Singapore: Patterns, Absolute Price Change, Trade Size and Number of Transactions

The availability of the transactions data of the Stock Exchange of Singapore allows us to examine intraday patterns and the relation among absolute price change, trade size and number of transactions. The presence of a trading halt in the mid-day results in two crude U-shaped return patterns but, contrary to Brock and Kleidon's (1992) model, it does not cause volume to be unusually high right before or after the halt. We find a positive relationship between absolute price changes and the number of transactions for both the active and inactive stocks. This supports the findings of Jones, Kaul and Lipson (1994) that these relationships also hold at the intraday level and in a market with different market architecture.     

Corporate Governance and the Information Content of Earnings Announcements: A Cross‐Country Analysis

Using firm‐level data from 23 developed markets, we document a positive association between overall firm‐level governance quality and the informativeness of earnings announcements measured by abnormal stock return variance. This finding is robust after controlling for the potential endogeneity of firm‐level corporate governance. Further analyses reveal that firms with strong governance show little evidence of earnings management, appoint Big 4 auditing firms, and attract analyst following, implying a positive link between strong corporate governance and the information quality of earnings announcements. Finally, there is some evidence that the relation between firm‐level governance and market reactions around the announcements exists only in countries characterized by a transparent information environment and strong legal investor protection.     

中国八大综合经济区绿色全要素生产率增长测算与因素分解

随着绿色发展理念得到贯彻落实,科学测算与解析绿色全要素生产率增长对于经济高质量发展意义重大。为直接完整测度区域层面的绿色全要素生产率增长及其构成,本文构造聚合环境广义Luenberger-Hicks-Moorsteen生产率指标及分解子项,利用蒙特卡洛模拟检验该指标测算结果的有效性,发现其相对于聚合L指标更具优势。本文根据2003—2019年地级以上城市的投入产出指标数据,测算八大综合经济区的绿色全要素生产率增长及动力来源。结果表明,八大经济区绿色全要素生产率均实现增长,但增速呈现分化特征。八大综合经济区绿色全要素生产率增长在技术层面的动力主要源于技术进步与规模效率增长,在要素层面主要源于期望产出效率增长与非期望产出治理效率增长。技术进步和期望产出效率增长是八大经济区绿色全要素生产率增长差异的主要成因。本文结论对于有针对性地提升地区绿色全要素生产率具有启示意义。     

An empirical investigation of Yankee stock offerings

This paper examines the operating and investment performance of 100 foreign firms that conduct their initial public offerings (IPOs) in the U.S. (Yankee stock offerings). The uniqueness of these firms is that the U.S. IPOs are their first public equity issue in any market, including the home market. We find significant improvement in the operating performance subsequent to these U.S. IPO events and firms from countries with poor investor protection benefit more. Compared to various benchmarks, unlike the significant underperformance of IPOs documented in many countries, these firms show no significant abnormal long-run stock market performance after 1, 3, or 5 years of seasoning. The findings are consistent with signaling and selective entry hypotheses.