Cross listing: price discovery dynamics and exchange rate effects
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- Cristina Mabel Scherrer & Marcelo Fernandes, 2016.
"Disentangling the Effect of Private and Public Cash Flows on Firm Value,"
800, Queen Mary University of London, School of Economics and Finance.
- Scherrer, Cristina Mabel & Fernandes, Marcelo, 2017. "Disentangling the effect of private and public cash flows on firm value," Textos para discussão 443, FGV/EESP - Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
More about this item
Keywordsprice discovery; exchange rate; market microstructure; structural VECM; high frequency data;
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- F31 - International Economics - - International Finance - - - Foreign Exchange
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2015-01-03 (All new papers)
- NEP-ALL-2015-01-08 (All new papers)
- NEP-MST-2015-01-03 (Market Microstructure)
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