KC Chan, GA Karolyi, FA Longstaff… - Journal of Finance, 1992 - JSTOR
We estimate and compare a variety of continuous-time models of the short-term riskless rate
using the Generalized Method of Moments. We find that the most successful models in
capturing the dynamics of the short-term interest rate are those that allow the volatility of ...
C Doidge, GA Karolyi… - Journal of Financial Economics, 2004 - Elsevier
At the end of 1997, foreign companies with shares cross-listed in the US had Tobin's q ratios
that were 16.5% higher than the q ratios of non-cross-listed firms from the same country. The
valuation difference is statistically significant and reaches 37% for those companies that ...
SR Foerster… - The Journal of Finance, 1999 - Wiley Online Library
Non-US firms cross-listing shares on US exchanges as American Depositary Receipts earn
cumulative abnormal returns of 19 percent during the year before listing, and an additional
1.20 percent during the listing week, but incur a loss of 14 percent during the year ...
GA Karolyi… - Journal of Finance, 1996 - JSTOR
This article explores the fundamental factors that affect cross-country stock return
correlations. Using transactions data from 1988 to 1992, we construct overnight and intraday
returns for a portfolio of Japanese stocks using their NYSE-traded American Depository ...
C Doidge, G Andrew Karolyi… - Journal of Financial Economics, 2007 - Elsevier
This paper develops and tests a model of how country characteristics, such as legal
protections for minority investors and the level of economic and financial development,
influence firms' costs and benefits in implementing measures to improve their own ...
KH Bae, GA Karolyi… - Review of Financial studies, 2003 - Soc Financial Studies
Abstract This article proposes a new approach to evaluate contagion in financial markets.
Our measure of contagion captures the coincidence of extreme return shocks across
countries within a region and across regions. We characterize the extent of contagion, its ...
GA Karolyi - Financial Markets, Institutions & Instruments, 1998 - Wiley Online Library
The purpose of this monograph is to survey the academic literature on the economic
implications of the corporate decision to list shares on an overseas stock exchange. My
focus is on the valuation and liquidity effects of the listing decision, and the impact of ...
GA Karolyi… - Handbook of the Economics of Finance, 2003 - Elsevier
Abstract We review the international finance literature to assess the extent to which
international factors affect financial asset demands and prices. International asset-pricing
models with mean-variance investors predict that an asset's risk premium depends on its ...
…, G Andrew Karolyi - Journal of financial economics, 1998 - Elsevier
This paper re-examines the extent to which gains from international diversification are due to
differences in industrial structure across countries. Recent papers by Roll (1992), Journal of
Finance 47, 3–42 and Heston and Rouwenhorst (1994), Journal of Financial Economics ...
K Chan, KC Chan… - Review of Financial Studies, 1991 - Soc Financial Studies
Abstract We examine the intraday relationship between returns and returns volatility in the
stock index and stock index futures markets. Our results indicate a strong intermarket
dependence in the volatility of the case and futures returns. Price innovations that ...
GA Karolyi - Journal of Business & Economic Statistics, 1995 - JSTOR
This study examines the short-run dynamics of returns and volatility for stocks traded on the
New York and Toronto stock exchanges. The main finding is that inferences about the
magnitude and persistence of return innovations that originate in either market and that ...
GA Karolyi - Review of Finance, 2006 - rof.oxfordjournals.org
Abstract There has long prevailed a conventional wisdom rationalizing why firms pursue
overseas listings. It argues that firms seek such opportunities to benefit from a lower cost of
capital that arises because their shares become more accessible to global investors. ...
KC Chan, GA Karolyi… - Journal of Financial Economics, 1992 - Elsevier
Abstract There is a significant foreign influence on the risk premium for US assets. Using a
bivariate GARCH-in-mean process, we find that the conditional expected excess return on
US stocks is positively related to the conditional covariance of the return of these stocks ...
W Bailey, G Andrew Karolyi… - Journal of Financial Economics, 2006 - Elsevier
We examine market behavior around earnings announcements to understand the
consequences of the increased disclosure that non-US firms face when listing shares in the
US We find that absolute return and volume reactions to earnings announcements ...
SR Foerster… - Journal of International Business Studies, 1993 - JSTOR
The globalization of financial markets has seen ever-increasing numbers of firms choosing
to list their stocks on foreign exchanges. We examine whether the extent of economic and
financial market integration (or segmentation) between a firm's home country and listing ...
…, G Andrew Karolyi - Pacific-Basin Finance Journal, 1994 - Elsevier
Abstract We study the joint dynamics of overnight and daytime return volatility for the Nikkei
Stock Average in Tokyo and the Standard and Poor's 500 Stock Index in New York over the
recent 1988–92 period. We extend the GARCH framework of Engle (1982) and Bollerslev ...
SR Foerster… - Journal of International Financial Markets, …, 1998 - Elsevier
We use transaction data for Toronto Stock Exchange (TSE) listed stocks to examine the
impact on trading costs of the decision to interlist on a US exchange. We measure trading
costs using both 'posted'bid-ask spreads and 'effective'bid-ask spreads that measure ...
SR Foerster… - Journal of Financial and …, 2000 - Cambridge Univ Press
Abstract We investigate the long-run return performance of non-US firms that raise equity
capital in US markets. Overall, between 1982 and 1996, our sample of 333 global equity
offerings with US depositary receipt (ADR) tranches from 35 countries in Asia, Latin ...
C Doidge, G Andrew Karolyi… - Journal of Financial Economics, 2009 - Elsevier
We study the determinants and consequences of cross-listings on the New York and London
stock exchanges from 1990 to 2005. This investigation enables us to evaluate the relative
benefits of New York and London exchange listings and to assess whether these relative ...
GA Karolyi - Review of Economics and Statistics, 2004 - JSTOR
This paper finds that the growth and expansion of US cross-listings by firms from emerging
markets around the world facilitated an expansion of cross-border equity flows and overall
development of their stock markets during the 1990s. However, these benefits have ...
…, G Andrew Karolyi - Journal of Financial Economics, 2010 - Elsevier
We measure arbitrage opportunities by comparing the intraday prices and quotes of
American Depositary Receipts (ADRs) and other types of cross-listed shares in US markets
with synchronous prices of their home-market shares on a currency-adjusted basis for a ...
C Doidge, GA Karolyi, KV Lins… - The Journal of …, 2009 - Wiley Online Library
This paper investigates how a foreign firm's decision to cross-list on a US stock exchange is related
to the consumption of private benefits of control by its controlling shareholders. Theory has proposed
that when private benefits are high, controlling shareholders are less likely to choose to ...
GA Karolyi - Pacific-Basin Finance Journal, 2002 - Elsevier
Foreigners became net sellers of Japanese equities during the Asian financial crisis in 1997.
In this study, I examine whether this shift in aggregate foreign portfolio investment activity in
Japan exacerbated the effect of the crisis on markets, or whether it simply reflected ...
GA Karolyi… - The Journal of Real Estate Finance and …, 1998 - Springer
We examine the predictable components of returns on stocks, bonds, and real estate
investment trusts (REITs). We employ a multiple-beta asset pricing model and find that there
are varying degrees of predictability among stocks, bonds, and REITs. Furthermore, we ...
GA Karolyi - International Finance, 2003 - Wiley Online Library
Abstract This article surveys the various definitions and taxonomies of international financial
contagion in the academic literature and popular press and relates it to the existing evidence
on co-movements in international asset prices, on the growth and volatility of international ...
SA Bond, GA Karolyi… - Real Estate Economics, 2003 - Wiley Online Library
We examine the risk and return characteristics of publicly traded real estate companies from
14 countries over the period 1990 to 2001. Our data are monthly country-level commercial
real estate indexes constructed by the European Public Real Estate Association (EPRA). ...
A Moel, R Rigobon… - Economia, 2001 - JSTOR
ADRs bring to emerging markets the advantages of liquidity, trans parency, and ease of
trade that characterize the US markets. When foreign and local investors choose ADRs over
local share issues, it places pressure on local exchanges, brokers, and regulatory ...
S Baruch, G Andrew Karolyi… - The Journal of …, 2007 - Wiley Online Library
We develop a new model of multimarket trading to explain the differences in the foreign
share of trading volume of internationally cross-listed stocks. The model predicts that the
trading volume of a cross-listed stock is proportionally higher on the exchange in which ...
C Doidge, GA Karolyi, KV Lins, DP Miller… - 2005 - nber.org
This paper investigates how a foreign firm's decision to cross-list its shares in the US is
related to the concentration of the ownership of its cash flow rights and of its control rights.
Theory has proposed that when private benefits are high, controlling shareholders are ...
C Doidge, GA Karolyi… - 2007 - nber.org
We study the determinants and consequences of cross-listings on the New York and London
stock exchanges from 1990 to 2005. This investigation enables us to evaluate the relative
benefits of New York and London exchange listings and to assess whether these relative ...
SM Bartram… - Journal of Empirical Finance, 2006 - Elsevier
This paper tests whether significant changes in stock return volatility, market risk, and foreign
exchange rate risk exposures took place around the launch of the Euro in 1999. The
experiment analyzes weekly returns for 3220 nonfinancial firms from 18 European ...
GA Karolyi - Journal of Corporate Finance, 2003 - Elsevier
On November 17, 1998, trading commenced in DaimlerChrysler ordinary shares, a single
global registered share (GRS) certificate, on stock exchanges around the world. The GRS
quotes, trades and settles in US Dollars on the New York Stock Exchange and in ...
M Goto… - Working Paper Series, 2004 - ideas.repec.org
This study analyzes how electricity price volatility evolves over time for different electricity
trading hubs in several deregulated markets around the world. The goal is to uncover
common features across hubs within each market in the daily spot price volatility ...
GA Karolyi - Journal of Financial and Quantitative Analysis, 1993 - Cambridge Univ Press
Abstract New measures of stock return volatility are developed to increase the precision of
stock option price estimates. With Bayesian statistical methods, volatility estimates for a
given stock are developed using prior information on the cross-sectional patterns in return ...
C Doidge, GA Karolyi… - The Journal of Finance, 2010 - Wiley Online Library
Foreign firms terminate their Securities and Exchange Commission registration in the
aftermath of the Sarbanes–Oxley Act (SOX) because they no longer require outside funds to
finance growth opportunities. Deregistering firms' insiders benefit from greater discretion ...
L Gagnon… - Journal of Financial and …, 2009 - Cambridge Univ Press
Abstract We investigate the joint dynamics of returns and trading volume of 556 foreign
stocks cross-listed on US markets. Heterogeneous-agent trading models rationalize how
trading volume reflects the quality of traders' information signals and how it helps to ...
GA Karolyi, J Shannon… - 1998 - investmentreview.com
The resurgence in Canadian merger and acquisition activity in the last few years has
rekindled interest in the profitability of risk arbitrage as a strategy for Canada's institutional
investment community. 1 In general, risk arbitrage is an investment strategy that ...
GA Karolyi… - 2005 - papers.ssrn.com
Abstract: This paper examines the stock price impact of terrorist attacks. Using an official list
of terrorism-related incidents compiled by the Counterterrorism Office of the US Department
of State, we identify 75 attacks between 1995 and 2002 in which publicly traded firms are ...
GA Karolyi - Management science, 1992 - JSTOR
Existing adjustment techniques for forecasting systematic risk of individual firms have been
based on relatively uniformative prior knowledge about the cross-sectional distribution of
risk estimates. This study introduces prior information in the form of size and industry- ...
V Czellar, GA Karolyi… - Journal of Empirical Finance, 2007 - Elsevier
We propose Indirect Robust Generalized Method of Moments (IRGMM), a simulation-based
estimation methodology, to model short-term interest rate processes. The primary advantage
of IRGMM relative to classical estimators of the continuous-time short-rate diffusion ...
K Hou, GA Karolyi… - Review of Financial Studies, 2011 - Soc Financial Studies
Abstract Using monthly returns for over 27,000 stocks from 49 countries over a three-decade
period, we show that a multifactor model that includes factor-mimicking portfolios based on
momentum and cash flow-to-price captures significant time-series variation in global stock ...
L Gagnon… - Financial Markets, Institutions & …, 2006 - Wiley Online Library
1. We are grateful for financial support from the DI McLeod Fund at Queen's University and
the Dice Center for Financial Economics at Ohio State and for useful discussions with René
Stulz. We also thank Caroline Trevithick for her editorial assistance. All remaining errors ...
GA Karolyi… - Journal of Empirical Finance, 2004 - Elsevier
This study introduces a new estimation-based bootstrap simulation procedure to test
whether different returns-generating models can explain the profitability of momentum
strategies first documented by Jegadeesh and Titman [J. Finance 48 (1993)]. We ...
L Pinkowitz, E Dahiya, P Dastidar, J Harford… - 2002 - Citeseer
Abstract Conventional wisdom asserts that firms with large cash holdings are likely takeover
targets. Using hostile takeover activity from 1985-1994, I find the probability a firm will be
acquired decreases with cash. This holds for firms with excess cash and those with poor ...
GA Karolyi - Strategic Investor Relations, 2001 - bryongaskin.net
”… It is fully as important to the stockholders that they be able to obtain a fair price for their
shares as it is that dividends, earnings and assets be conserved or increased. It follows that
the responsibility of management… includes the obligation to prevent… the establishment ...
C Doidge, GA Karolyi, RM Stulz… - 2008 - nber.org
ABSTRACT On March 21, 2007, the Securities and Exchange Commission (SEC) adopted
Exchange Act Rule 12h-6 which makes it easier for foreign private issuers to deregister and
terminate the reporting obligations associated with a listing on a major US exchange. We ...
[CITATION] Corporate governance, agency problems and international cross-listings: A defense of the bonding hypothesis
GA Karolyi - The Handbook of International Corporate Finance and …, 2010
G Huberman, S Kandel… - University of Alberta, 1988 - getcited.org
An academic directory and search engine.
GA Karolyi, KH Lee… - Working Paper Series, 2007 - ideas.repec.org
We uncover similar cross-country and time-series patterns in co-movement or" commonality"
in stock returns, liquidity, and trading activity across 40 developed and emerging countries.
The extent to which the liquidity and turnover of individual stocks within a country move ...
GA Karolyi, KH Lee… - Journal of Financial …, 2011 - jfe.rochester.edu
This table reports results of cross–sectional regressions of average commonality in liquidity
during large market declines in 40 countries–denoted by (R2 liq) Down, Large m, computed
as the logistic transformation of the time–series average of commonality in liquidity in ...
[CITATION] The volatility of the Japanese stock market: Evidence from 1977 to 1990
KKC Chan… - 1990 - College of Business, Ohio State …
KC Chan, GA Karolyi, FA Longstaff… - 1991 - oilinsights.net
Despite a bewildering array of models, relatively little is known about how these models
compare in terms of their ability to capture the actual behaviour of the shortterm riskless rate.
The primary reason for this has probably been the lack of a common framework in which ...
[CITATION] Commonality in returns, liquidity and trading volume around the world
A Karolyi, KH Lee… - 2007 - Working paper, Ohio State University
L Gagnon… - 2003 - emeraldinsight.com
Abstract: Using intraday prices for the S&P 500 and Nikkei Stock Average stock indexes and
aggregate trading volume for the New York and Tokyo Stock Exchanges, we show how short-
run comovements between national stock market returns vary over time in a way related to ...
C Doidge, GA Karolyi… - 2011 - nber.org
During the past two decades, there has been a dramatic change in IPO activity around the
world. Though vibrant IPO activity, attributed to better institutions and governance, used to
be a strength of the US, it no longer is. IPO activity in the US has fallen compared to the ...
RM Stulz, C Doidge… - 2004 - nber.org
This paper develops and tests a model of how country characteristics, such as legal
protections for minority investors, and the level of economic and financial development,
influence firms' costs and benefits in implementing measures to improve their own ...
[CITATION] Are Financial Assets Priced Locally or Globally?, in the Handbook of the Economics of Finance, G. Constantinides, M. Harris, and RM Stulz, eds
A Karolyi - 2003 - Elsevier North Holland
[CITATION] The Lure of American Exchanges for Canadian Issuers
SR Foerster, GA Karolyi… - Study sponsored by National Financial …, 1998
GA Karolyi - Journal of Applied Corporate Finance, 2004 - Wiley Online Library
2. Abstract In the 1990s, exchange rate crises followed stock market crashes and sharp
economic contractions, with devastating effects on countries around the world. The
frequency and extent of these events led many policymakers, regulators, journalists, and ...
[CITATION] Alternative Models of the Term Structure: An Empirical Comparison
KC Chan, GA Karolyi, FA Longstaff… - Journal of Finance, 1992
C Doidge, GA Karolyi… - Rotman School of Managenet, University …, 2005 - ksri.org
Executive Summary The report investigates whether the premium in the valuation of shares
of non-US companies crosslisted on US markets, originally uncovered for a sample of firms
in 1997 in Doidge, Karolyi, and Stulz (2004,“Why are foreign firms listed in the US worth ...
GA Karolyi - 2009 - nber.org
Abstract We examine the motives for and consequences of 5,317 failed and completed cross-
border acquisitions constituting $619 billion of total activity that were led by government-
controlled acquirers over the period from 1990 to 2008. We benchmark this activity at the ...
S Chaplinsky, L Ramchand, AK Helwege, E Sirri… - 2000 - faculty.darden.virginia.edu
Abstract In April 1990 the US Securities and Exchange Commission (SEC) approved Rule
144A, a reform that permitted firms to raise capital from “qualified institutional buyers”(QIBs)
without requiring registration of the securities and compliance with US GAAP. The rule, ...
[CITATION] Has New York become less competitive in global markets
C Doidge, A Karolyi… - Evaluating foreign listing choices over time, Fisher …, 2007
[CITATION] Another look at the role of the industrial struc-ture of markets for international diversification strategies
JM Grifiin… - 1996 - Working paper, Ohio State Uni- …
[CITATION] Capital rewards—The lure of US exchanges
S Foerster, A Karolyi… - Ivey Business Journal63 (4), 1999
[CITATION] Are Financial Assets Priced Locally or Globally? prepared for the Handbook of the Economics of Finance, George Constaninides, Milton Harris, and René …
GA Karolyi - 2002 - North-Holland
GA Karolyi - The Journal of Portfolio Management, 2008 - papers.ssrn.com
Abstract: Do terrorism-related investing strategies lead to superior investment performance?
This study evaluates the risks and returns to two different terrorism-related investment
strategies in the US markets over the period from 1994-2006. The first strategy evaluates a ...
[CITATION] Sanders. Anthony B.“
KC Chan, AJL Karolyi… - An Empirical Comparison of Alternative Models of …, 1992
[CITATION] e M., 2000, A New Approach to Measuring Financial Contagion
KH Bae, A Karolyi… - … Paper 2000-13, Fisher College of …
GA Karolyi - Journal of Applied Corporate Finance, 1998 - Wiley Online Library
2. Abstract Corporations around the world are now aggressively raising equity capital in the
US by crosslisting their shares on major US stock exchanges in the form of depositary
receipts (DRs). After describing the process by which companies create DR programs to ...
FA Longstaff, KC Chan, GA Karolyi… - The Journal of Finance, 1992 - 219.225.6.7
ABSTRACT We estimate and compare a variety of continuous-time models of the short-term
riskless rate using the Generalized Method of Moments. We find that the most successful
models in capturing the dynamics of the short-term interest rate are those that allow the ...
[CITATION] The Effects of Market Segmentation and Investor Recognition on Assets Prices: Evidence from Foreign Stock Listing in the US
F Stephen… - Journal of Finance, 1999
GA Karolyi, L Li… - Journal of Financial Economic Policy, 2009 - emeraldinsight.com
Purpose–The purpose of this paper is to examine the changes in B-share discounts across
76 Chinese stocks around an important regulatory event to understand the importance of
political risk in pricing stocks in emerging markets. Design/methodology/approach–On ...
[CITATION] Terrorism and the Stock Market
GA Karolyi… - International Review of Applied Financial Issues and …, 2010
[CITATION] Do international cross-listings still matter?" forthcoming in Evidence on Financial Globalization and Crises, Thorsten Beck, Sergio Schmukler, and Stijn …
L Gagnon… - 2010 - Elsevier North-Holland Publishers
[CITATION] Private benefits of Control
C Doidge, GA Karolyi, K Lins, D Miller… - Ownership, and the Cross-listing …, 2006
[CITATION] Are financial assets priced globally or locally?, forthcoming in the Handbook of the Economics of Finance, George Constantindies, Miton Harris, and René …
AG Karolyi - 2003 - North Holland
[CITATION] Issues in International Asset Pricing
A Karolyi… - Handbook of the Economics of Finance, 2002
[CITATION] forthcoming,“Multi-Market Trading and Liquidity: Theory and Evidence,”
S Baruch, A Karolyi… - Journal of Finance
[CITATION] Ren¶ e M. Stulz, 1992, Global financial markets and the risk premium
KC Chan… - Journal of Financial Economics
A Karolyi… - 2011 - papers.ssrn.com
Abstract: We examine how the government's presence in the banking sector affects cross-
border acquisition flows and share price reactions to cross-border bank merger and
acquisition (M&A) announcements. In particular, we examine how the government's ...
[CITATION] Are financial assets priced locally or globally? Forthcoming, Handbook of Economics of Finance
A Karolyi… - 2003 - George Constantinides, Milton …
[CITATION] The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the US
SR Foerster, GA Karolyi… - 1997 - Richard Ivey School of Business, …
[CITATION] Why Do Countries Matter so Much for Corporate Governance?" NBER Working Paper No. 10726
C Doidge, GA Karolyi… - 2004
[CITATION] The Effects of Market Segmentation and Illiquidity on Assets Prices: Evidence from Foreign Stocks Listing in the US Ohio State University
S Foerster… - 1996 - Mimeo.. 1999. The Effects of Market …
GA Karolyi - 2003 - ieo-imf.org
How to measure time-varying capital market integration? Follow approach of Errunza,
Hogan and Hung (2000) using a multivariate GARCH-M model that allows time-varying
world price of covariance risk (δw, t-1) and local market price of risk (λi, t-1) to explain local ...
[CITATION] Are Financial Assets Priced Locally or Globally?, forthcoming in George Constantinides, Milton Harris, and René M. Stulz, eds.: Handbook of the …
GA Karolyi - 2002 - North-Holland, Amsterdam
[CITATION] RenéM. Stulz, Global financial markets and the risk premium on US equity
C Chan… - Journal of Financial Economics, 1992
[CITATION] Why Are Foreign Firms Listed in the US Worth More?, 71 J
C Doidge, GA Karolyi… - Fin. Econ, 2004
K Chan, GA Karolyi… - Pacific-Basin Finance Journal, 2002 - Elsevier
This study celebrates the tenth anniversary of the Pacific-Basin Finance Journal with a
retrospective evaluation. We review the mission of the journal and survey the editorial and
review policies of the journal, including special issues as well as those associated with the ...
[CITATION] Why do Countries Matter So Much for Corporate Governance: No. 10726-NBER Working Paper
C Doidge, AG Karolyi… - 2005
[CITATION] FEATURE EDITORIAL-CAPITAL REWARDS-Inter-listing on US exchanges really does work. But just don't go ahead and list. Know the pitfalls
S Foerster, A Karolyi… - Ivey Business Journal, 1999
GA Karolyi… - 2011 - marriottschool.net
Abstract Using monthly returns for over 37,000 stocks from 46 developed and emerging
market countries over a two-decade period, we test whether empirical asset pricing models
capture the size, value, and momentum patterns in international stock returns. We propose ...
[CITATION] Terrorism and the Stock Market. ssrn. com/abstract= 823465
GA Karolyi… - 2006
GA Karolyi - 1989 - en.scientificcommons.org
GA Karolyi… - 2003 - en.scientificcommons.org
Abstract Compilación en tres volúmenes de trabajos sobre los mercados internacionales de
capital. En el primer volumen se abordan las teorías sobre las opciones internacionales y la
tasación de activos, a la vez que ofrece una mirada empírica a los modelos de tasación ...
[CITATION] Prizes
R Adams, A Berger, M Brennan, S Claessens…
K Chan, GA Karolyi… - hawaii.edu
Abstract This study celebrates the tenth anniversary of the Pacific-Basin Finance Journal
with a retrospective evaluation. We review the mission of the Journal and survey the editorial
and review policies of the Journal, including special issues as well as those associated ...
G Andrew Karolyi - The Journal of Derivatives, 1996 - iijournals.com
This study evaluates the impact of stock trading activity at the time of expirations ofjapanese
stock index options and futures contracts on the underlying stock prices. Although these
expiration days are associated with higherthan-average trading volume, tests indicate that ...
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