Detail Essays in financial economics Bibliografi Author: Froot, Kenneth A. (Advisor); Shleifer, Andrei (Advisor); Savasoglu, Serkan ; Porta, Rafael La (Advisor) Topik: ECONOMICS; FINANCE Bahasa: (EN )    ISBN: 0-599-77731-1     Penerbit: Harvard University Press     Tahun Terbit: 2000     Jenis: Theses - Dissertation Fulltext: 9972422.pdf (0.0B; 1 download) Abstract This thesis consists of three essays in financial economics. The first chapter is titled “ADR Arbitrage.” The time series of ADR (American Depositary Receipt) arbitrage profits support a limited arbitrage explanation. First, arbitrage profits are increasing in the idiosyncratic risk of the arbitrage position, which is a function of the standard deviation of past arbitrage profits. Second, arbitrage profits are increasing in arbitrageurs' exposure to ADR arbitrage. Third, arbitrage profits are increasing in portfolio flows into a country if the ADR is already trading at a premium. Finally, ADR arbitrage returns are higher following periods of larger mispricings in the on-the-run versus off-the-run U.S. Treasury bond market. The second chapter is titled “Limited arbitrage in mergers and acquisitions,” co-authored with Malcolm Baker. The portfolio return to risk arbitrage has an abnormal return of about one percent per month for the full sample period. The cross-section of risk arbitrage positions allows us to explain this abnormal return. Consistent with limited arbitrage and inconsistent with a transaction cost theory, we find that excess returns are increasing in target size and post-announcement trading volume. Also, the idiosyncratic risk of deal completion and the supply of arbitrage capital influence returns. When arbitrageurs' equity holdings fall, subsequent risk arbitrage returns rise. We conclude that limited arbitrage plays a role in the market pricing of merger and acquisition offers. The third chapter is titled “Impact of corporate governance and foreign trading on firm returns during crises: the case of Turkey,” co-authored with Osman Nalbantoglu. We show that corporate governance and foreign ownership measures have additional explanatory power over fundamental variables for the cross-section of Turkish stock returns in the 1998 crisis. Firms with higher accounting standards and better management have higher crisis abnormal returns. Ownership structures that are less prone to expropriation risk are also associated with better stock price performance. Using the average foreign trading volume before the crisis as a proxy for pre-crisis foreign ownership levels, we also conclude that higher foreign ownership leads to lower crisis abnormal returns. The final outcome depends on which effect dominates. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Lihat Sejarah Pengadaan  Konversi Metadata   Kembali

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