One For All or All For One? Using Multiple-listing Information in Event Studies
AbstractIn an event study where at least some of the sample firms have their equity securities listed in more than one market, the question arises as to which is the most appropriate market (or markets) to use for the purpose of estimating mean abnormal returns. When arbitrage activity across these markets is restricted in some way, estimating abnormal returns from just one of the markets potentially throws away valuable information. On the other hand, indiscriminate pooling is likely to result in the same information being counted more than once. We develop a Generalized Least Squares estimator that (i) uses all the information available from multiple listings, (ii) ‘downweights’ listing observations that provide little new information, and (iii) yields efficient abnormal return estimates. Finally, we apply this generalized approach to a sample of Chinese foreign mergers and acquisitions and compare the results with conventional estimates of mean abnormal returns.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University of Canterbury, Department of Economics and Finance in its series Working Papers in Economics with number 11/33.
Length: 43 pages
Date of creation: 01 Nov 2011
Date of revision:
Contact details of provider:
Postal: Private Bag 4800, Christchurch, New Zealand
Phone: 64 3 364 2848 (Administrator)
Fax: 64 3 364 2635
Web page: http://www.econ.canterbury.ac.nz
More information through EDIRC
event study; multiple listings; mergers and acquisitions; China;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-21 (All new papers)
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.:
- Bailey, Warren & Karolyi, G. Andrew & Salva, Carolina, 2004.
"The Economic Consequences of Increased Disclosure:Evidence from International Cross-Listings,"
Working Paper Series
2004-7, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Bailey, Warren & Andrew Karolyi, G. & Salva, Carolina, 2006. "The economic consequences of increased disclosure: Evidence from international cross-listings," Journal of Financial Economics, Elsevier, vol. 81(1), pages 175-213, July.
- Kalok Chan & Albert J. Menkveld & Zhishu Yang, 2008.
"Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount,"
Journal of Finance,
American Finance Association, vol. 63(1), pages 159-196, 02.
- Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2006. "Information Asymmetry and Asset Prices: Evidence from the China Foreign share discount," Serie Research Memoranda 0005, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- K.C. Chen & Guangzhong Li & Lifan Wu, 2010. "Price Discovery for Segmented US-Listed Chinese Stocks: Location or Market Quality?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(1-2), pages 242-269.
- Gozzi, Juan Carlos & Levine, Ross & Schmukler, Sergio L., 2008.
"Internationalization and the evolution of corporate valuation,"
Journal of Financial Economics,
Elsevier, vol. 88(3), pages 607-632, June.
- Gozzi, Juan Carlos & Levine, Ross & Schmukler, Sergio L., 2006. "Internationalization and the evolution of corporate valuation," Policy Research Working Paper Series 3933, The World Bank.
- Ross Levine & Sergio L. Schmukler, 2005. "Internationalization and the Evolution of Corporate Valuation," NBER Working Papers 11023, National Bureau of Economic Research, Inc.
- G. Andrew Karolyi, 2006.
"The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom,"
Review of Finance,
European Finance Association, vol. 10(1), pages 99-152.
- Karolyi, G. Andrew, 2004. "The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom," Working Paper Series 2004-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Joachim Grammig & Michael Melvin & Christian Schlag, 2005.
"Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate Effects,"
Working Paper Series: Finance and Accounting
78, Department of Finance, Goethe University Frankfurt am Main.
- Grammig, Joachim & Melvin, Michael & Schlag, Christian, 2005. "Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 139-164, January.
- Doukas, John & Travlos, Nickolaos G, 1988. " The Effect of Corporate Multinationalism on Shareholders' Wealth: Evidence from International Acquisitions," Journal of Finance, American Finance Association, vol. 43(5), pages 1161-75, December.
- Matti Keloharju & Samuli Knüpfer & Sami Torstila, 2008. "Do Retail Incentives Work in Privatizations?," Review of Financial Studies, Society for Financial Studies, vol. 21(5), pages 2061-2095, September.
- B�lent Aybar & Aysun Ficici, 2009. "Cross-border acquisitions and firm value: An analysis of emerging-market multinationals," Journal of International Business Studies, Palgrave Macmillan, vol. 40(8), pages 1317-1338, October.
- Mitchell A. Petersen, 2005.
"Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches,"
NBER Working Papers
11280, National Bureau of Economic Research, Inc.
- Mitchell A. Petersen, 2009. "Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches," Review of Financial Studies, Society for Financial Studies, vol. 22(1), pages 435-480, January.
- Rabinovitch, Ramon & Silva, Ana Cristina & Susmel, Raul, 2003. "Returns on ADRs and arbitrage in emerging markets," Emerging Markets Review, Elsevier, vol. 4(3), pages 225-247, September.
- Melvin, Michael, 2003.
"A stock market boom during a financial crisis?: ADRs and capital outflows in Argentina,"
Elsevier, vol. 81(1), pages 129-136, October.
- Michael Melvin, . "A Stock Market Boom During a Financial Crisis? ADRs and capital outflows in Argentina," Working Papers 2133524, Department of Economics, W. P. Carey School of Business, Arizona State University.
- Manapol Ekkayokkaya & Phil Holmes & Krishna Paudyal, 2009. "The Euro and the Changing Face of European Banking: Evidence from Mergers and Acquisitions," European Financial Management, European Financial Management Association, vol. 15(2), pages 451-476.
- Miller, Darius P., 1999. "The market reaction to international cross-listings:: evidence from Depositary Receipts," Journal of Financial Economics, Elsevier, vol. 51(1), pages 103-123, January.
- Aktas, Nihat & de Bodt, Eric & Roll, Richard, 2004. "Market Response to European Regulation of Business Combinations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(04), pages 731-757, December.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Albert Yee).
If references are entirely missing, you can add them using this form.