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 3 369 3123 (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; Insider Trading
- 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.:
- 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.
- 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.
- 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.
- Mitchell A. Petersen, 2005. "Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches," NBER Working Papers 11280, National Bureau of Economic Research, Inc.
- Keloharju, Matti & Knüpfer, Samuli & Torstila, Sami, 2004.
"Do Retail Incentives Work in Privatizations?,"
CEPR Discussion Papers
4612, C.E.P.R. Discussion Papers.
- 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.
- 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.
- 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.
- 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.
- Ross Levine & Sergio L. Schmukler, 2005. "Internationalization and the Evolution of Corporate Valuation," NBER Working Papers 11023, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Michael Melvin, .
"A Stock Market Boom During a Financial Crisis? ADRs and capital outflows in Argentina,"
2133524, Department of Economics, W. P. Carey School of Business, Arizona State University.
- Melvin, Michael, 2003. "A stock market boom during a financial crisis?: ADRs and capital outflows in Argentina," Economics Letters, Elsevier, vol. 81(1), pages 129-136, October.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Jaideep Anand & Laurence Capron & Will Mitchell, 2005. "Using acquisitions to access multinational diversity: thinking beyond the domestic versus cross-border M&A comparison," Industrial and Corporate Change, Oxford University Press, vol. 14(2), pages 191-224, April.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Albert Yee).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.