The Effects Of Market Segmentation And Illiquidity On Asset Prices
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The Effects Of Market Segmentation And Illiquidity On Asset Prices Evidence From Foreign Stocks Listing In The Us
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Author : Stephen Robert Foerster
language : en
Publisher: London : Richard Ivey School of Business, University of Western Ontario
Release Date : 1996
The Effects Of Market Segmentation And Illiquidity On Asset Prices Evidence From Foreign Stocks Listing In The Us written by Stephen Robert Foerster and has been published by London : Richard Ivey School of Business, University of Western Ontario this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Market segmentation categories.
The Effects Of Market Segmentation And Illiquidity On Asset Prices
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Author : Stephen R. Foerster
language : en
Publisher:
Release Date : 1998
The Effects Of Market Segmentation And Illiquidity On Asset Prices written by Stephen R. Foerster and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
New abstract and new pdf file Diane 10/22/98 DianeNon-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 risk exposures and are related to an expansion of the shareholder base and to the amount of capital raised at the time of listing. Our tests provide support for the market segmentation hypothesis and Merton?s (1987) investor recognition hypothesis.
The Effects Of Market Segmentation And Illiquidity On Asset Prices
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Author : Christopher Géczy
language : en
Publisher:
Release Date : 1996
The Effects Of Market Segmentation And Illiquidity On Asset Prices written by Christopher Géczy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Corporations categories.
The Effects Of Market Segmentation And Investor Recognition On Asset Prices
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Author : Stephen R. Foerster
language : en
Publisher: London : Richard Ivey School of Business, University of Western Ontario
Release Date : 1997
The Effects Of Market Segmentation And Investor Recognition On Asset Prices written by Stephen R. Foerster and has been published by London : Richard Ivey School of Business, University of Western Ontario this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with categories.
Market Segmentation Liquidity Spillover And Closed End Country Fund Discounts
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Author : Justin Chan
language : en
Publisher:
Release Date : 2005
Market Segmentation Liquidity Spillover And Closed End Country Fund Discounts written by Justin Chan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Capital market categories.
In a segmented international capital market, illiquidity in the market in which the shares of a country fund are traded affects only the share price of the fund, while illiquidity in the market in which the underlying assets are traded affects only the fund net asset value (NAV).
Global Liquidity
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Author : Akito Matsumoto
language : en
Publisher: International Monetary Fund
Release Date : 2011-06-01
Global Liquidity written by Akito Matsumoto and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-01 with Business & Economics categories.
What is global liquidity and how does it affect an economy? The paper addresses that question by looking at liquidity from two different perspectives: global liquidity as availability of funds in safe and risky asset markets. This distinction between safe and risky asset markets is important due to market segmentation, which called for unconventional monetary policy to restore a function of risky asset markets. To analyze the effect of global liquidity, I construct proxy variables and then asses how they affect an emerging economy whose interest rate is affected by a world risk-free rate and a risk premium. Using the data from four major Latin American countries, I find that these two aspects of global liquidity have similar effects on economic performance in emerging market economies except for their effect on inflation.
Liquidity And Asset Prices
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Author : Yakov Amihud
language : en
Publisher: Now Publishers Inc
Release Date : 2006
Liquidity And Asset Prices written by Yakov Amihud and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Business & Economics categories.
Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
The Effects Of Market Segmentation And Investor Recognition On Asset Prices
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Author : Stephen R. Foerster
language : en
Publisher:
Release Date : 2001
The Effects Of Market Segmentation And Investor Recognition On Asset Prices written by Stephen R. Foerster and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
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 risk exposures and are related to an expansion of the shareholder base and to the amount of capital raised at the time of listing. Our tests provide support for the market segmentation hypothesis and Merton?s (1987) investor recognition hypothesis.
Uk Closed End Country Funds
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Author : Mary H. Fletcher
language : en
Publisher:
Release Date : 2013
Uk Closed End Country Funds written by Mary H. Fletcher and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
In this thesis we investigate the relation between UK closed-end country fund pricing and measures of illiquidity, sentiment and segmentation. First, we examine whether the UK closed-end country fund premium is related to the illiquidity of the UK fund or the illiquidity of the country in which the fund invests. We also consider whether emerging market country funds behave differently in terms of their premium and illiquidity to developed market country funds, and in particular whether they offer more stability during the period of the recent financial crisis. Overall, we find country illiquidity plays a significant role in the premium of emerging market funds. However, in developed market funds country illiquidity is not significant. Fund illiquidity, in contrast, is significant for developed market funds but not for emerging market funds. Second, we analyse the effect of sentiment on the pricing of UK closed-end country funds between 1992 and 2009. We find that country consumer sentiment is significantly negatively related to the share price and NAV (net asset value) return over different time horizons. We also find that UK consumer sentiment is significantly negatively related to the closed-end fund premium. The results suggest that both institutional investors and so called 'discount traders' influence country fund pricing. Third, we examine the effect of time-varying direct investment barriers on the pricing of UK closed-end country funds in emerging markets. We focus on the post-liberalisation period (1993-2009) and analyse the relation between time varying measures of direct and indirect market segmentation. We find that the direct measures of capital market segmentation are significantly negatively related to both the share price return and the return on the NAV of UK closed-end country funds in emerging markets. We also find, however, that direct investment barriers have an insignificant effect on the premium.
Quantitative Implications Of Liquidity Constraints For Asset Prices And Monetary Policy
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Author : Won Jun Nah
language : en
Publisher:
Release Date : 2018
Quantitative Implications Of Liquidity Constraints For Asset Prices And Monetary Policy written by Won Jun Nah and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
This paper investigates quantitative significance of liquidity constraints for asset prices and monetary policy in a monetary economy version of Kiyotaki and Moore (2005). Motivated by the lack of commitment in the intertemporal asset trade, the model economy features limited resalability of illiquid asset (e.g., physical capital) as well as a borrowing limit to which the illiquid asset can be pledged as collateral. The demand for money arises from the anticipation of future liquidity needs for random investment opportunities. The key parameter governing the degree of liquidity haircut is calibrated using the historical recovery rates and the rating agencies' advance rates criteria for bonds and loans, whereas the arrival rate of an investment opportunity is estimated using the simulated method of moments (SMM). The implied liquidity premium is countercyclical, which is consistent with the so-called 'flight to quality' during recessions or financial crises. The magnitude of the liquidity premium also accounts for a significant portion of the equity premium. Further, an open market monetary expansion in the model economy causes nominal interest rates to fall in the short term and rise back to normal levels over time. These persistent liquidity effects are driven by the liquidity constraints, together with a limited participation (or market segmentation) in investment opportunities which essentially brings about asymmetric distributional effects of monetary policy.