This paper examines the stock price reaction to cross-border spinoff announcements and investigates whether country characteristics (such as takeover market liquidity and investor protection) cause variation in the announcements' wealth effects. We observe a positive and significant price...

We examine how exchange rate changes affect the security returns and how economic and translation exposure components of exchange rate risk are priced across countries. Employing ADRs of four countries, we document four main findings. First, exchange rate changes are negatively related to...

We use multivariate regime switching vector autoregressive models to characterize the time-varying linkages among short-term interest rates (monetary policy) and stock returns in the Irish, the US and UK markets. We find that two regimes, characterized as bear and bull states, are required to...

This study attempts to ascertain how well pecking order behavior applies to firms in the US, the UK, Germany and Japan. Investors in the US and UK have an asymmetric information problem caused, in part, by the relatively widespread ownership of stock in these two countries where managers and...

There is little research on international equity premia estimates. Using improved and consistent methodologies covering a recent 8-year period, this paper estimates annual equity premia for sixteen emerging markets and finds that they are generally low even compared to risk-free rates. In...

This paper draws on public debt in Brazil, Mexico, and Russia, and develops a bond-by-bond database from 1990 to 2005 that accounts for all available information on buybacks and swaps. We estimate a de facto indicator of average maturity of debt. We analyze the behavior of these three emerging...

The divergence of opinion 'premium hypothesis', developed by Miller [Miller, E., 1977. Risk, uncertainty, and divergence of opinion. Journal of Finance 32, 1151-1168], predicts that the price of a stock is set by optimistic investors when belief asymmetry about its value is high. We examine...

This paper analyzes the value of analysts' consensus recommendations and their changes in eight developed stock markets using data from Factset/JCF, in the period from January 1994 to December 2006. Results show that analysts are optimistically biased, albeit to a different degree in each...