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Information, trading and stock returns: Lessons from dually-listed securities

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Author Info
Chan, K. C.
Fong, Wai-Ming
Kho, Bong-Chan
Stulz, ReneM.

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File URL: http://www.sciencedirect.com/science/article/B6VCY-3VWT1JS-2/2/4c708c7e3602c81a795e4a94322da1cc
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 20 (1996)
Issue (Month): 7 (August)
Pages: 1161-1187
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Handle: RePEc:eee:jbfina:v:20:y:1996:i:7:p:1161-1187

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May. [Downloadable!] (restricted)
    Other versions:
  2. Hasbrouck, Joel, 1991. "The Summary Informativeness of Stock Trades: An Econometric Analysis," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 4(3), pages 571-95. [Downloadable!] (restricted)
  3. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July. [Downloadable!] (restricted)
  4. McInish, Thomas H & Wood, Robert A, 1992. " An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks," Journal of Finance, American Finance Association, vol. 47(2), pages 753-64, June. [Downloadable!] (restricted)
  5. Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March. [Downloadable!] (restricted)
  6. Wood, Robert A & McInish, Thomas H & Ord, J Keith, 1985. " An Investigation of Transactions Data for NYSE Stocks," Journal of Finance, American Finance Association, vol. 40(3), pages 723-39, July. [Downloadable!] (restricted)
  7. Stoll, Hans R & Whaley, Robert E, 1990. "Stock Market Structure and Volatility," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(1), pages 37-71. [Downloadable!] (restricted)
  8. Harris, Milton & Raviv, Artur, 1993. "Differences of Opinion Make a Horse Race," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 6(3), pages 473-506. [Downloadable!] (restricted)
  9. Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 1(1), pages 3-40. [Downloadable!] (restricted)
  10. Foster, F Douglas & Viswanathan, S, 1993. " Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models," Journal of Finance, American Finance Association, vol. 48(1), pages 187-211, March. [Downloadable!] (restricted)
  11. Jain, Prem C. & Joh, Gun-Ho, 1988. "The Dependence between Hourly Prices and Trading Volume," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(03), pages 269-283, September. [Downloadable!]
  12. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Aarni Pursiainen, 1998. "Relationship between volatility and multilisting : evidence from the Finnish stock market," Finnish Economic Papers, Finnish Economic Association, vol. 11(2), pages 65-85, Autumn. [Downloadable!]
  2. Michael R. King & Dan Segal, 2003. "Valuation of Canadian- vs. U.S.-Listed Equity: Is There a Discount?," Working Papers 03-6, Bank of Canada. [Downloadable!]
  3. G. Andrew Karolyi & Rene Stulz, . "Why do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements using ADRS," Research in Financial Economics 9501, Ohio State University. [Downloadable!]
  4. G. Andrew Karoly & Rene Stulz, . "Why do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements," Research in Financial Economics 9603, Ohio State University. [Downloadable!]
    Other versions:
  5. Michael R. King & Dan Segal, 2004. "International Cross-Listing and the Bonding Hypothesis," Working Papers 04-17, Bank of Canada. [Downloadable!]
  6. Darius P. Miller & John J. Puthenpurackal, 2005. "Security fungibility and the cost of capital - evidence from global bonds," Working Paper Series 426, European Central Bank. [Downloadable!]
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