Two essays on the informativeness of stock prices : perspectives from M&A and the cross-listing of American depository receipts

2005 ◽  
Author(s):  
Ning Gao
Keyword(s):  
Stock Prices ◽  
American Depository Receipts ◽  
Cross Listing ◽  
Depository Receipts ◽  
The Cross

scholarly journals The Accrual Anomaly: International Evidence

2007 ◽  
Vol 82 (1) ◽  
pp. 169-203 ◽  
Author(s):  
Morton Pincus ◽  
Shivaram Rajgopal ◽  
Mohan Venkatachalam
Keyword(s):  
Stock Prices ◽  
Common Law ◽  
American Depository Receipts ◽  
Accrual Anomaly ◽  
Country Level ◽  
Level Data ◽  
Institutional Structures ◽  
Local Manifestation ◽  
Depository Receipts

We consider stock markets in 20 countries to investigate whether the accrual anomaly (Sloan 1996), characterized by U.S. stock prices overweighting the role of accrual persistence, is a local manifestation of a global phenomenon.We explore whether the occurrence of the anomaly is related to country differences in accounting and institutional structures, and examine alternative explanations for its occurrence. We find stock prices overweight accruals in general, with accruals overweighting occurring in countries with a common law relative to a code law tradition. Using firmlevel data on a country-by-country basis, we document the occurrence of the anomaly in four countries, Australia, Canada, the U.K., and the U.S., and also in a sample of American Depository Receipts (ADRs) of firms domiciled in countries where we do not detect the anomaly. Using country-level data, we confirm the anomaly is more likely to occur in countries having a common law tradition, and also in countries allowing extensive use of accrual accounting and having a lower concentration of share ownership. Additional analyses reveal that earnings management and barriers to arbitrage best explain the anomaly.

Does Risk or Mispricing Explain the Cross-Section of Stock Prices

2002 ◽  
Author(s):  
Randolph B. Cohen ◽  
Christopher K. Polk ◽  
Tuomo Vuolteenaho
Keyword(s):  
Cross Section ◽  
Stock Prices ◽  
The Cross

Investors’ Attention and American Depository Receipts Pricing: Evidence from Indian Stocks

2019 ◽  
Vol 9 (12) ◽  
pp. 381-386
Author(s):  
A Sarath Babu
Keyword(s):  
Volume Index ◽  
American Depository Receipts ◽  
Control Variables ◽  
Search Volume ◽  
Depository Receipts ◽  
Book To Market Ratio ◽  
Google Search ◽  
The Impact

This paper is an attempt to examine the impact of investors’ attention on returns and the traded volume of American Depository Receipts prices for selected ten Indian Stocks. The Google search volume index has been used as a proxy for investors’ attention in this paper. However, factors such as size and book to market ratio were used to indicate as control variables. The results reveal that investors’ attention variable significantly affects ADRs traded volume, but has no impact on the ADR prices.

Cross-listing of real estate investment trusts (REITs)

2017 ◽  
Vol 35 (5) ◽  
pp. 509-527
Author(s):  
Kim Hin David Ho ◽  
Kwame Addae-Dapaah ◽  
Fang Rui Lina Peck
Keyword(s):  
Real Estate ◽  
Foreign Market ◽  
Real Estate Investment Trusts ◽  
Domestic Market ◽  
Risk Exposure ◽  
Real Estate Investment ◽  
Content Type ◽  
Cross Listing ◽  
Market Beta ◽  
The Cross

Purpose The purpose of this paper is to examine the common stock price reaction and the changes to the risk exposure of the cross-listing for real estate investment trusts (REITs). Design/methodology/approach The paper adopts the event study methodology to assess the abnormal returns (ARs). Pre- and post-cross-listing changes in the risk exposure for the domestic and foreign markets are examined, via a modified two-factor international asset pricing model. A comparison is made for two broad cross-listings, namely, the depositary receipts and the dual ordinary listings, to examine the impacts from institutional differences. Findings Cross-listed REITs generally experience positive and significant ARs throughout the event window, implying significant superior returns associated with the cross-listing for REITs. On systematic risks, REITs exhibit significant decline in their domestic market β coefficients after the cross-listing. However, the foreign market β coefficients do not yield conclusive evidence when compared across the sample. Research limitations/implications Results are consistent with prudential asset allocation for potential diversification gains from the cross-listing, as the reduction from the domestic market beta is more significant than changes in the foreign market beta. Practical implications The results and findings should incentivise REIT managers to explore viable cross-listing. Social implications Such cross-listing for REITs should enhance risk diversification. Originality/value This is a pioneer study on cross-listing of REITs. It provides a basis for investment decision making, and could provoke further research and discussion.

Cross-Listing Audit Fee Premiums: Theory and Evidence

2009 ◽  
Vol 84 (5) ◽  
pp. 1429-1463 ◽  
Author(s):  
Jong-Hag Choi ◽  
Jeong-Bon Kim ◽  
Xiaohong Liu ◽  
Dan A. Simunic
Keyword(s):  
Home Country ◽  
Audit Fees ◽  
Legal Liability ◽  
Listed Firms ◽  
Cross Listing ◽  
Audit Fee ◽  
Legal Regimes ◽  
Cross Country ◽  
The Cross ◽  
The Difference

ABSTRACT: We study the effects of cross-listings on audit fees. We first develop a model in which legal environments play a crucial role in determining the auditor's legal liability. Our model and analysis predict that auditors charge higher fees for firms that are cross-listed in countries with stronger legal regimes than they do for non-cross-listed firms and that the cross-listing audit fee premium increases with the difference in the strength of legal regimes between the cross-listed foreign country and the home country. We then empirically test these predictions. The results of our cross-country regressions strongly support our predictions. In addition, we find no significant cross-listing fee premium for firms that are cross-listed in countries whose legal regimes are. no stronger than those of their home countries. This suggests that cross-listing audit fee premiums are associated with increased legal liability and not with increased audit complexity per se. Our findings help explain why cross-listing premiums occur and what determines their magnitude.

Can Derivative Information Predict Stock Price Jumps?

2015 ◽  
Vol 31 (3) ◽  
pp. 845
Author(s):  
Noe-Keol Kwark ◽  
Hyoung-Goo Kang ◽  
Sang-Gyung Jun
Keyword(s):  
Standard Deviation ◽  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Implied Volatility ◽  
Stock Index ◽  
Rates Of Return ◽  
Cross Sectional ◽  
Put Options ◽  
The Cross

<p>This study examines the predictability of jumps in stock prices using options-trading information, the futures basis spread, the cross-sectional standard deviation of returns on components in the stock index, and exchange rates. A stock price jump was defined as a large fluctuation in the stock price that deviated from the distribution thresholds of the past rates of return. This empirical analysis shows that the implied volatility spread between ATM call and put options was a significant predictor for both upward and downward jumps, whereas the volatility skew was less significant. In addition, the futures basis spread was moderately significant for downward stock price jumps. Both the cross-sectional standard deviation of the rates of return on component stocks in the KOSPI 200 and the won-dollar exchange rates were significant predictors for both upward and downward jumps.</p>

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