Detail Frontier equity market valuation: Securities' return behavior, informational efficiency, and valuation in a pre-emerging equity market: The case of Russia Bibliografi Author: Kratz, Oliver Stephen ; Jacque, Laurent (Advisor) Topik: ECONOMICS; FINANCE Bahasa: (EN )    ISBN: 0-591-94814-1     Penerbit: FLETCHER SCHOOL OF LAW AND DIPLOMACY (TUFTS UNIVERSITY)     Tahun Terbit: 1998     Jenis: Theses - Dissertation Fulltext: 9840873.pdf (0.0B; 0 download) Abstract This study explores the question of market segmentation affecting securities behavior from the perspective of relative market efficiency and pre-emerging market equity valuation in the Russian equity market. Relative market efficiency is found to be a function of securities transparency, with top-, medium-, and bottom-transparency portfolios displaying different degrees of relative market efficiency. This is primarily a function of such features as segmented investor categories trading securities with different characteristics, and institutional barriers which deter large segments of foreign investors to participate in less transparent issues. Concisely, it is established that highly transparent securities can be described by a lower degree of relative market efficiency, medium-transparency securities are characterized by a higher degree of relative market efficiency, and low-transparency securities again display a lower degree of relative market efficiency. Furthermore, it is established that the Russian equity market displays a trend of rising relative market efficiency over time. which for market infrastructure-related reasons lapses back into lower relative market efficiency during times of market corrections. The general role of American depositary receipts (ADRs) in pre-emerging equity markets is examined in the contest of informational efficiency. ADRs in the Russian equity market affect returns of underlying shares. The results of an event-study test confirm the conventional wisdom that buying underlying shares around the ADR issuance date can be a lucrative investment. Common pitfalls and trends are outlined and serve the analyst as a guideline to the future of the market for underlying shares of future Russian ADRs. A dynamic valuation model for pre-emerging market equities is established: the factor (WAM) composed of (1) Western auditor, (2) ADRs, and (3) Market capitalization. WAM scores are more meaningful for assessing future equity performance during the initial 'genesis' period of the equity market. Later, when more information becomes available, more fundamentally-oriented measures become better indicators of future equity performance. This study concludes by taking a look at the nucleus and three surrounding layers of pre-emerging market equity analysis. (1) political risks, (2) macro-risks, (3) equity market infrastructure valuation, and (nucleus) WAM/fundamental analysis. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Lihat Sejarah Pengadaan  Konversi Metadata   Kembali

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