In this study, we examine the multiple direct foreign-listing by analyzing characteristics of listing firms as well as hosting and home countries. Our results show that listing premium increases over time, but this premium diminishes as the firm lists in additional foreign markets. Multiple...

Employing a sample of stocks cross listed and subsequently delisted from foreign markets, we examine the consequences of delisting in terms of price, risk, volume, and liquidity. We also provide a direct comparison between the firm's performance due to foreign cross listing and its subsequent...

This paper provides a comprehensive set of contemporaneous estimates of the market risk for globally listed stocks on 59 world equity markets. The results reveal that the estimates of the systematic risk of a stock are distinct from market to market, and from the stock's corresponding estimate...

We use a novel pricing model to filter times series of diffusive volatility and jump intensity from Samp;P 500 index options. These two measures capture the ex-ante risk assessed by investors. We find that both components of risk vary substantially over time, are quite persistent, and correlate...

Existing literature reports an empirical puzzle about the foreign exchange forward premium, the spread between the forward rate and the concurrently-observed spot exchange rate. The premium is often negatively correlated with subsequent changes in the spot rate. This defies economic intuition...

In this paper, we propose a unifying class of affine-quadratic term structure models (AQTSMs) in the general jump-diffusion framework. Extending existing term structure models, the AQTSMs incorporate random jumps of stochastic intensity in the short rate process. Using information from the...

The issue of estimation risk is of particular interest to the decision-making processes of portfolio managers who use long-short investment strategies. Accordingly, our paper explores the question of whether a VaR constraint reduces estimation risk when short sales are allowed. We find that such...

With the rapid globalization and integration of world capital markets, more and more stocks are listed in multiple markets. With multi-listed stocks, the traditional measurement of systematic risk, the domestic beta, is not appropriate since it only contain information from one market. Prakash...

Previous research claims that low constant correlations among international stock indices create substantial risk-reduction from diversification. We contend that only using constant correlations is too simplistic an approach. We examine international diversification by: (1) using conditional...