We investigate the long-run return performance of non-U.S. firms that raise equity capital in U.S. markets. Overall, between 1982 and 1996, our sample of 333 global equity offerings with U.S. depositary receipt (ADR) tranches from 35 countries in Asia, Latin America, and Europe under-perform...

New measures of stock return volatility are developed to increase the precision of stock option price estimates. With Bayesian statistical methods, volatility estimates for a given stock are developed using prior information on the cross-sectional patterns in return volatilities for groups of...

We investigate the joint dynamics of returns and trading volume of 556 foreign stocks cross-listed on U.S. markets. Heterogeneous-agent trading models rationalize how trading volume reflects the quality of traders’ information signals and how it helps to disentangle whether returns are...