effects of speculation and interest rates in a carry trade model of commodity prices abstract the paper presents and estimates a model of the prices of oil and other storable commodities a model that can be characterized as reflecting the carry trade it focuses on speculative factors here defined as the trade off between interest rates on the one hand and market participants expectations of future price changes on the other hand it goes beyond past research by bringing to bear new data sources survey data to measure expectations of future changes in commodity prices and options data to measure perceptions of risk some evidence is found of a negative effect of interest rates on the demand for inventories and thereby on commodity prices and positive effects of expected future price gains on inventory demand and thereby on today s commodity prices

energy inflation and house price corrections we analyze empirically the role played by energy inflation as a determinant of downward corrections in house prices using a dataset for 18 oecd economies spanning the last four decades we identify periods of downward house price adjustment and estimate conditional logit models to measure the effect of energy inflation on the probability of these house price corrections after controlling for other relevant macroeconomic variables our results give strong evidence that increases in energy price inflation raise the probability of such corrective periods taking place this phenomenon could be explained by various channels through the adverse effects of energy prices on economic activity and income reducing the demand for housing through the particular impact on construction and operation costs and their effects on the supply and demand of housing through the reaction of monetary policy on inflation withdrawing liquidity and further reducing demand through improving attractiveness of commodity versus housing investment on asset markets or through a lagging impact of common factors on both variables such as economic growth our results contribute to the understanding of the pass through of oil price shocks to financial markets and imply that energy price inflation should serve as a leading indicator for the analysis of macro financial risks

corruption south african multinational enterprises and institutions in africa we examine the responses of south african multinational enterprises mnes to corruption in african markets in the context of institutional voids corruption is a source of uncertainty and additional transactional costs for mnes and it necessitates a strategic response the research employs a qualitative study of a sample of mnes with experience in internationalising into africa the results indicate that corruption in african markets is pervasive and closely associated with the institutional voids in these countries mnes see themselves as institution takers responding to countries institutional makeup at the organisational and individual level but fail to fully appreciate their impact on institutions both positively and negatively rather mnes focus on strategic responses at the organisational level to address corruption operationally in the host country we add to the existing literature by providing a dynamic framework of the complex webs of association between institutions mnes and corruption in conditions of economic underdevelopment the research suggests that mnes do not need to get caught in a vicious cycle whereby they perpetuate corruption in conditions of underdevelopment and institutional voids but instead can contribute towards a virtuous cycle through which they institutionalise ethical foundations

us monetary policy and sectoral commodity prices abstract using a structural var svar model we examine the effects of the monetary policy of the united states on sectoral commodity prices including the non fuel commodity prices food prices beverage prices prices of agricultural raw materials prices of metals and prices of fuel energy commodities and macroeconomic activity the empirical evidence suggests that a u s monetary contraction leads to an immediate rise in the broad commodity price index which possibly reflects an aggregation bias greater expected inflation and speculation high production costs or some overshooting due to overreactions then the response erodes after six quarters as the positive interest rate shock vanishes and higher interest rates and liquidity drainage take traction despite this the aggregate price response masks the existence of significant heterogeneity in the price responses of the different types of commodity sectors more specifically a positive interest rate shock leads to i an initial pop in the price returns of the non fuel commodities which later reverses path and becomes negative as in the case of the prices of agricultural raw materials ii a positive and persistent rise in the volatile food prices iii a fall in the beverage prices and iv a persistent reduction in the prices of metals and the prices of energy prices our results also remain globally intact with respect to alternative specifications and identification schemes as well as to unconventional monetary policy effects similar results are also found when commodity futures prices are used we conclude that policymakers should recognize the source of sector inflation before embarking on contractionary monetary policy the design of core inflation targeting is also preferable to headline inflation targeting

the ex dividend day behavior of canadian stock prices tax changes and clientele effects with some simple assumptions the ex dividend day price drop and the associated dividend can be used to measure the market s marginal tax rate previous research has estimated the implied tax rate for the u s this paper extends the analysis to canada where the tax treatment of dividends and capital gains is completely different from that in the u s the paper also presents estimates from 1970 80 to include four distinct periods when the tax treatment was different hence we include an implied test of market efficiency as well as those for the relevance of taxes and the existence of tax based dividend clienteles

the role of american depositary receipts in the development of emerging equity markets this paper finds that the growth and expansion of u s 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 negative spillover effects the capitalization and turnover ratios of local market firms that do not pursue overseas listings decline as u s cross listings in the form of american depositary receipts adrs increase in size and scope we investigate various possible sources of these negative spillovers and offer new evidence that the growth of adrs neither facilitates nor hinders local market development but represent an outcome of poorly functioning local markets policy implications are discussed

value creation management competencies and global corporate citizenship an ordonomic approach to business ethics in the age of globalization this article develops an ordonomic approach to business ethics in the age of globalization through the use of a three tiered conceptual framework that distinguishes between the basic game of antagonistic social cooperation the meta game of rule setting and the meta meta game of rule finding discourse we address three questions the answers to which we believe are crucial to fostering effective business leadership and corporate social responsibility first the purpose of business in society is value creation companies have a social mandate to organize mutually advantageous cooperation second business ethics should teach the management competencies necessary to fulfill business s societal mandate these competencies are optimization competence in the basic game of value creation governance competence in the meta game of political rule setting and the three discourse related skills of orientation competence reception competence and communication competence necessary for engaging in the meta meta game third companies can help solve global problems through global corporate citizenship if they participate as political and moral actors in rule setting processes and rule finding discourse aimed at laying the foundation for value creation on a global scale

the market reaction to international cross listings evidence from depositary receipts abstract this paper examines the stock price impact of international dual listings the sample consists of 181 firms from 35 countries that instituted their first depositary receipt program over the period 1985 1995 the market reaction to a depositary receipt program is larger in magnitude and more pervasive than previously reported the stock price reaction is related to choice of exchange geographical location i e emerging or developed markets and avenues for raising equity capital i e public versus private offerings

spillovers from the oil sector to the housing market cycle we assess the spillovers from the oil sector to the housing market cycle using quarterly data for 20 net oil exporting and importing industrial countries and employing continuous and discrete time duration models we do not uncover a statistically significant difference in the average duration of booms and normal times in the housing markets of those net oil importers and net oil exporters similarly the degree of exposure to commodity price fluctuations does not seem to significantly affect the housing market cycle however we find that housing booms are shorter when oil prices increase than housing busts when oil prices decrease we also show that the net oil importers are more vulnerable to protracted housing slump episodes than the net oil exporters

liquidity and the dynamic pattern of asset price adjustment a global view abstract global liquidity expansion has been very dynamic since 2001 contrary to conventional wisdom high money growth rates have not coincided with a concurrent rise in goods prices at the same time however asset prices have increased sharply significantly outpacing the subdued development in consumer prices we investigate the interactions between money and goods and asset prices at the global level using aggregated data for major oecd countries our var results support the view that different price elasticities on asset and goods markets explain the observed relative price change between asset classes and consumer goods

another look at the role of the industrial structure of markets for international diversification strategies abstract 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 36 3 27 investigate this issue and find conflicting evidence using a new database the dow jones world stock index with coverage in 25 countries and over 66 industry classifications we decompose comprehensively both country and industrial sources of variation we confirm that little of the variation in country index returns can be explained by their industrial composition we also uncover differences in the proportion of variation in industry index returns that is captured by country and industry factors and discuss the implications for global diversification strategies

poverty alleviation as business strategy evaluating commitments of frontrunner multinational corporations summary in the debate on how to combat poverty the positive role of mncs is frequently mentioned nowadays although doubts and criticism remain facing this societal debate mncs feel the pressure to formulate a position this paper analyzes mncs policies on their poverty alleviating potential frontrunner mncs turn out not to be very outspoken especially not on those issues that have the largest potential to help alleviate poverty placed in the context of other mncs behavior a sector coordinated morality seems important which means that a meso approach to poverty alleviation needs to complement the current global macro and individual company micro focus

why are crude oil prices high when global activity is weak abstract there have been substantial increases in liquidity in recent years and real oil prices have almost returned to the high levels achieved before the global financial crisis unanticipated increases in global real m2 led to statistically significant increases in real oil prices the historical impact of global real m2 on the real price of crude oil is important in the recovery of oil prices over 2009 to 2011

asset pricing and dual listing on foreign capital markets a note international capital flows can be hampered by a variety of barriers such as transaction costs information costs and legal restrictions these barriers can be severe enough to produce segmentation of capital markets along national borders thereby producing incentives for firms to adopt financial policies that can effectively reduce the associated negative effects according to stapleton and subrahmanyam 6 p 313 dual listing of the firm s securities on foreign capital markets is one such policy 1 however adoption of this policy will bring forth asset pricing adjustments the purpose of this note is to provide and analyze a closed form solution to the equilibrium asset pricing problem that arises in this situation 2 once the solution is obtained comparative statics are provided 3 the model presented assumes that one of the domestic securities is dually listed on a foreign capital market while none of the foreign securities is dually listed on the domestic capital market this scenario often characterizes the initial stages of capital market integration in which a country with relatively scarce capital or a relatively underdeveloped capital market allows a small number of domestic securities or a fund of domestic securities to be listed on a foreign capital market while simultaneously forbidding its citizens to invest in foreign securities this point can be illustrated by the emergence of a variety of country funds in the u s capital market such as the japan fund in the 1960 s the

metal volatility in presence of oil and interest rate shocks abstract this study uses three two factor volatility models of the garch family to examine the volatility behavior of three strategic commodities gold silver and copper in the presence of crude oil and interest rate shocks the results of the standard garch models suggest that gold and silver have almost the same volatility persistence which is greater than that of copper the cgarch estimates indicate that the short run transitory component of volatility converges to zero much faster for copper than for gold and silver in this sequence however the permanent volatility component demonstrates equally strong persistence in the long run for all three metals the egarch results suggest that the leverage effect is present and significant for copper only implying that gold and silver can be good investment in anticipation of bad times past oil shock does not impact all three metals similarly monetary policy and to leaser extent the oil shocks have calming effects on precious metals but not on copper if the t bill rate is used crises such as the 2003 iraq war heighten metal volatility these results have implications for derivatives valuations using gold as a reserve asset risk analysis and for the commodity exporting countries and commodity producing firms

do household energy expenditures affect mortgage delinquency rates we postulate a direct role for energy prices in the 2008 financial crisis rising energy prices constrain consumer budgets and thereby raise mortgage delinquency rates this hypothesis is tested by estimating a quarterly cointegrating vector autoregressive cvar model that seeks to quantify the factors that influence the percentage of us mortgages that are 30 to 89 days past due and those that enter foreclosure results identify a long run relationship for the percentage of us mortgages that are 30 to 89 days past due that includes the interest rate on one year adjustable mortgages household expenditures on energy nominal home prices rates of home ownership and the fraction of mortgages 90 days or more past due that enter foreclosure unemployment rates have a short run effect together these variables account for much of the historical variation in the percentage of us mortgages that are 30 to 89 days past due and indicate that the post 2006 rise in this measure of mortgage delinquency is associated with falling home prices an increase in household expenditures on energy and rising unemployment

private information trading volume and stock return variances new evidence is provided on the determinants of stock return variances first when the tokyo stock exchange is open on saturday the weekend variance increases weekly variance is unaffected however despite an increase in weekly volume second the listing of u s stocks in tokyo substantially increases the number of trading hours but tokyo volume is negligible for these u s stocks and their 24 hour variance is unaffected the overall results are consistent with the predictions of private information based rational trading models but inconsistent with both the irrational trading noise and public information hypotheses

moral markets and moral managers revisited in the wake of recent corporate scandals this paper examines the claim made by john boatright that business ethics as it is currently conceived rests on a mistake ethics in business should not be achieved through managerial vision discretion or responsibility rather ethics should shape the design of institutions that regulate business from the outside what ethicists should advocate for according to boatright are moral markets not moral managers i explore the empirical and normative dimensions of his claim with special attention paid to the extent to which boatright s development of the economic theory of the firm supports his position i conclude by suggesting some reasons why moral markets and moral management are compatible frameworks for corporate reform

the developing world is poorer than we thought but no less successful in the fight against poverty a new data set on national poverty lines is combined with new price data and almost 700 household surveys to estimate absolute poverty measures for the developing world we find that 25 of the population lived in poverty in 2005 as judged by what poverty typically means in the world s poorest countries this is higher than past estimates substantial overall progress is still indicated the corresponding poverty rate was 52 in 1981 but progress was very uneven across regions the trends over time and regional profile are robust to various changes in methodology though precise counts are more sensitive

does industrial structure explain the benefits of international diversification abstract we examine the influence of industrial structure on the cross sectional volatility and correlation structure of country index returns for 12 european countries between 1978 and 1992 we find that industrial structure explains very little of the cross sectional difference in country return volatility and that the low correlation between country indices is almost completely due to country specific sources of return variation diversification across countries within an industry is a much more effective tool for risk reduction than industry diversification within a country

integration vs segmentation in the canadian stock market this paper examines the issue of integration versus segmentation of the canadian equity market relative to a global north american market we compare the international and domestic versions of the capm and find that integration or the mean variance efficiency of the global market index is rejected by the data segmentation is the preferred model based on a maximum likelihood procedure correcting for thin trading we further divide the sample into securities that are interlisted in canada and the u s and those that are not integration is rejected for both groups which indicates that the source of segmentation can be traced to legal barriers based on the nationality of issuing firms empirical studies of international capital markets have left the issue of segmentation versus integration largely unresolved yet the question of national or international pricing of assets has crucial implications for financial decisions if national stock markets are segmented then international portfolios should display superior risk adjusted performance because some of the priced domestic systematic risk is diversifiable also with segmentation many irrelevance propositions for corporate financial strategy break down home firms face optimal hedging decisions as well as optimal foreign versus home borrowing decisions finally criteria for capital budgeting decisions will be quite different under national and international pricing the purpose of this paper is to shed some light on this integration versus segmentation question for the canadian equity market vis a vis a global north american market in this paper integration is defined2 as a situation where investors earn the same risk adjusted expected return on similar financial instruments in different national markets the key problem of course is the pricing

the impact of global equity offerings this article examines the impact of u s firms issuing equity in multiple markets we compare the stock price reactions to announcements of global equity offers to a control group of issues offered exclusively in the domestic u s market all else equal the adverse price reaction that typically accompanies equity issuance is reduced by 0 8 percent when some shares are sold abroad the overall evidence suggests global offers are effective in expanding demand and reducing the price pressure effects associated with share issuance the benefits of global offers appear to be associated with an increase in the number of foreign shareholders the search for new capital markets and lower costs of capital is an ongoing search for most firms in recent years the number of u s firms issuing common equity in international markets has increased significantly in 1985 u s firms raised 89 million through follow on equity offers in foreign markets and this amount increased to 18 915 million in 1995 a greater than 200 fold increase in nominal terms this paper focuses on follow on global equity issues by u s firms and attempts to assess why firms widely acknowledged to have access to broad and deep domestic capital markets increasingly seek to raise equity abroad the global equity offerings we examine involve a simultaneous sale of common equity at the same offer price in the u s market and one or more international markets we examine the characteristics of the issuers and issues and investigate to what extent the wider distribution of shares affects the pricing and costs of these issues our main line of inquiry examines whether the distribution of shares to multiple markets results in a higher offer price for equity shares than would be obtained had the shares been sold exclusively in the u s market domes

the production of housing services and the derived demand for residential energy most studies of residential energy usage treat energy as a final consumer good this study explicitly considers the production of housing service flows from stocks of real estate and flows of operating inputs and considers the demand for residential energy as a factor input the empirical results based upon analysis of a sample of newly constructed dwellings and their occupants are used to evaluate the effects of energy price changes on the price of housing services and on the demand for housing and real estate thus indicating the extent of residential energy conservation in response to higher prices finally the results are used to analyze federal and state tax subsidies for residential energy conservation

commodity prices and bric and g3 liquidity a sfavec approach this paper investigates the influence of liquidity in the major developed and major developing economies on commodity prices liquidity is taken to be m2 a novel finding is that unanticipated increases in the bric countries liquidity is associated with significant and persistent increases in commodity prices that are much larger than the effect of unanticipated increases in g3 liquidity and the difference increases over time over 1999 2012 bric liquidity is strongly linked with global energy prices and global real activity whereas g3 liquidity is not the impact of bric liquidity on mineral and metal prices is twice as large as that of g3 liquidity granger casualty goes from liquidity to commodity prices bric and g3 liquidity and commodity prices are cointegrated bric and g3 liquidity and global output and global prices are cointegrated we construct a structural factor augmented error correction sfavec model

international listings of stocks the case of canada and the u s 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 country influences stock price reaction by examining the case of two similar countries the u s and canada during the 100 days before the week of interlisting in the u s risk adjusted stock prices of canadian firms rise on average by over 9 4 rise by an additional 2 around the interlisting date but follow with a corresponding drop of 9 7 in the 100 days after interlisting we interpret this evidence to be consistent with the financial market segmentation between canada and the u s however a subsample of canadian resource firms does not exhibit these stock price effects suggesting industry related factors may also be an important determinant of integration we also find average trading volume in interlisted stocks more than doubles in the months following interlisting

global and local information asymmetries illiquidity and sec rule 144a regulation s the case of indian gdrs abstract between 1992 and 1997 indian firms were the most frequent issuers of equity backed global depositary receipts gdrs governed by the sec s rule 144a and regulation s they also accounted for the highest dollar volume home market stock price responses to these issues are consistent with the hypotheses that gdrs enable firms to resolve two forms of information asymmetry 1 an asymmetry between issuing firms and international investors that results from market segmentation and 2 an asymmetry between indian firms and home market investors that resembles asymmetries that help explain abnormal returns in equity private placements by us firms our evidence suggests that gdr issuance can increase investors recognition of underlying shares even if there are no liquidity enhancements and even if disclosure requirements are not as demanding as those imposed on foreign firms whose depositary receipts trade in public us markets

oil price shocks and stock markets in the u s and 13 european countries abstract oil price shocks have a statistically significant impact on real stock returns contemporaneously and or within the following month in the u s and 13 european countries over 1986 1 2005 12 norway as an oil exporter shows a statistically significantly positive response of real stock returns to an oil price increase the median result from variance decomposition analysis is that oil price shocks account for a statistically significant 6 of the volatility in real stock returns for many european countries but not for the u s increased volatility of oil prices significantly depresses real stock returns the contribution of oil price shocks to variability in real stock returns in the u s and most other countries is greater than that of interest rate an increase in real oil price is associated with a significant increase in the short term interest rate in the u s and eight out of 13 european countries within one or two months counter to findings for the u s and for norway there is little evidence of asymmetric effects on real stock returns of positive and negative oil price shocks for oil importing european countries

the impact of cross listing in the united states on the precision of public and private information our study explores the source of improvement in the information environment from cross listing shares on us stock exchanges are the improvements from cross listing in the united states achieved more through public or private information channels while we find evidence that us cross listing is significantly associated with improvements in both public and private information precision the association is stronger between cross listing and improvements in private information precision this suggests that the improvement in the information environment for cross listed firms is largely due to analysts expending more effort on firm specific information discovery as opposed to broader improvements in overall public disclosure this research should influence international business scholars that improvements in the information environment do not occur solely through public information channels they also occur through investors private information search activities

this is what happened to the oil price macroeconomy relationship abstract many of the quarterly oil price increases observed since 1985 are corrections to even bigger oil price decreases the previous quarter when one looks at the net increase in oil prices over the year recent data are consistent with the historical correlation between oil shocks and recessions

perspectives on multinational enterprises in emerging economies multinational enterprises mnes play a pivotal role in the development of many emerging economies in consequence they became the focus of scholarly research by economists and policy analysts in contrast international business scholars have been comparatively uninterested in analysing this role of mnes yet they could make important contributions to these debates first studies taking the individual firms as starting point would enhance understanding of the interaction between mnes and the local environment second theories and research methodologies developed in international business research could provide new insights into the dynamics of mnes in emerging economies the objective of this paper is to motivate more international business scholars to engage in research on positive and negative spillovers from foreign direct investment fdi in emerging economy societies to advance this research agenda scholars need to analyse the specific activities and capabilities of the firms involved and the impact of fdi on the broader social and environmental context for management this agenda raises the ethical question to what extent ought businesses to care about their local stakeholders

how sensitive are consumer expenditures to retail energy prices abstract there is growing evidence that the primary effect of energy price shocks on the u s economy involves a reduction in consumer spending we quantify the direct effect on real consumption of unanticipated changes in discretionary income shifts in precautionary savings and changes in the operating cost of energy using durables the possibility of asymmetries in the response of real consumption to energy price shocks is also considered we demonstrate that linear models are consistent with the symmetric behavior of real consumption in 1979 when energy prices increased sharply and in 1986 when they fell sharply it is shown that historically energy price shocks have been an important factor in explaining u s real consumption growth but by no means the dominant factor

the effect of market segmentation and illiquidity on asset prices evidence from exchange listings this article documents the effect on share value of listing on the new york stock exchange and reports the results of a joint test of merton s 1987 investor recognition factor and amihud and mendelson s 1986 liquidity factor as explanations of the change in share value we find that during the 1980s stocks earned abnormal returns of 5 percent in response to the listing announcement and that listing is associated with an increase in the number of shareholders and a reduction in bid ask spreads cross sectional regressions provide support for both investor recognition and liquidity as sources of value from exchange listing the effect on share value of listing on the new york stock exchange nyse by over the counter otc stocks has been the focus of empirical investigation by scholars and practitioners for at least 50 years the consensus conclusion is that an nyse listing is or at least has been associated with a significant increase in share price streetlore has historically attributed this increase in value to the increased investor recognition that is believed to accompany listing on a major exchange until recently this investor recognition explanation has lacked a rigorous analytical foundation merton 1987 fills this void with a model of capital market equilibrium with incomplete information to develop his model merton adopts most of the assumptions of the original sharpe lintner mossin capital asset pricing model capm but relaxes the assumption of equal information across investors he further assumes that investors invest only in the those securities of which they are aware 2 with this modification to the original capm framework merton derives a model in which expected returns increase with systematic risk firm specific risk and relative market value and decrease

business cycle duration dependence a parametric approach this paper reexamines duration dependence in u s business cycles using parametric hazard models positive duration dependence would indicate that expansions or contractions are more likely to end as they become older this paper provides statistically significant evidence of positive duration dependence for expansions before world war ii and contractions after world war ii the evidence is stronger than in earlier research utilizing nonparametric techniques because certain nonparametric techniques have low statistical power against the type of duration dependence found in this paper evidence is also presented suggesting that expansions became longer on average after world war ii while contractions became shorter copyright 1991 by mit press

additional evidence on integration in the canadian stock market this paper reexamines the integration of the canadian and u s stock markets in the 1977 86 period that is relatively free from capital controls the study employs both the capm and the apt frameworks under both models the evidence is consistent with segmentation in the 1977 81 subperiod but supports integration in the 1982 86 subperiod using the apt framework we also find that the canadian stocks interlisted on the u s exchanges and nasdaq are priced in an integrated market and segmentation is predominant for the non interlisted canadian stocks in a study using an international capm framework jorion and schwartz 1986 find strong evidence of segmentation in the pricing of canadian stocks relative to a north american market comprising the canadian and u s stock markets the rejection of integration holds for canadian stocks that are interlisted on the u s stock exchanges and nasdaq as well as for domestic canadian stocks that are listed only on the canadian stock exchanges their results are surprising since the canadian and u s economies are highly integrated and the structure and regulation of security markets in the two countries are similar as well the canadian stocks interlisted on the u s stock exchanges list under the same regulation as the domestic u s stocks thus ex ante we would expect the canadian and u s stock markets to be integrated especially for the interlisted stocks 1 this study reexamines the integration in the canadian market employing both the capm and the apt frameworks since tests of market integration are joint tests of a specified model and market integration a relevant question is whether the two models produce different inferences pertaining to the integration issue in addition we explore this issue in a period that is

do countries matter for voluntary disclosure evidence from cross listed firms in the us this paper explores the likelihood and consequences of voluntary disclosure proxied by management earnings forecasts for a sample of 1005 cross listed firms in the us from 40 countries over the period 1996 2005 our study is grounded in a three tiered conceptual framework that relies on insights from and implications of institutional theory agency theory and bonding theory to explain the costs and benefits associated with voluntary disclosure consistent with institutional theory and agency theory our results indicate that disclosure likelihood increases with the strength of cross listed firms home country legal institutions and is also influenced by us listing type product market internationalization and ownership structure further our results show that voluntarily committing to us disclosure practice is associated with lower information asymmetry which supports reputational bonding theory overall our study provides a costs and benefits framework to understand voluntary disclosure practices in an international context our work also presents evidence that home country institutions still matter when foreign firms migrate into the us financial market which highlights the importance of country level institution development

booms busts and normal times in the housing market we assess the existence of duration dependence in the likelihood of an end in housing booms busts and normal times using data for 20 industrial countries and a continuous time weibull duration model we find evidence of positive duration dependence suggesting that housing market cycles have become longer over the last decades then we extend the baseline weibull model and allow for the presence of a change point in the duration dependence parameter we show that positive duration dependence is present in booms and busts that last less than 26 quarters but that does not seem to be the case for longer phases of the housing market cycle for normal times no evidence of change points is found finally the empirical findings uncover positive duration dependence in housing market booms of european and non european countries and housing busts of european countries in addition they reveal that while housing booms have similar length in european and non european countries housing busts are typically shor

developing countries and mnes extending and enriching the research agenda foreign direct investment fdi through multinational enterprises mnes has emerged in the last decade as the principal source of foreign capital for developing countries meyer this issue underlines the need for international business ib scholars to understand the impact of these investments on host developing countries he offers a useful assessment of the literature and proposes a rich set of questions for further research however his research agenda can be extended and enriched in two ways first ib scholars must study as they always have causation in the opposite direction namely the impact of developing country context on mne behavior and the co evolution of these two variables over time in doing so they must incorporate into their models contemporary issues such as the continued inadequacy of rules for fdi in infrastructure sectors or the clever means by which mnes are rewriting the global rules under which they operate in developing countries e g on intellectual property rights second ib scholars must pay more attention to topics that are not mainstream within the field but are of great importance to developing countries examples include the behavior and performance of a new generation of home grown mnes the role of diaspora in homeland fdi in countries like china and india and the implications of global outsourcing of services

discussion of adrs analysts and accuracy does cross listing in the united states improve a firm s information environment and increase market value lang lins and miller 2002 investigate the relation between cross listing in the united states and information intermediation by analysts the results suggest that cross listing in the united states increases analyst following and forecast accuracy and that both variables are associated with tobin s q these findings are interesting and advance the cross listing literature in several ways this discussion raises two issues first i highlight that the sources of cross listing effects are not obvious and are difficult to disentangle to illustrate this point i replicate the analysis using cross listed canadian firms for which mandated disclosures are held constant thus if disclosure effects are important for documented cross listing effects i expect to find no relation in the canadian sample the findings for forecast accuracy are consistent with this hypothesis however analyst following continues to be significantly higher for cross listed canadian firms these findings suggest that the sources of cross listing effects differ for analyst coverage and forecast accuracy second i discuss the link between analyst variables firm value and cost of capital as they are only tenuously related i draw attention to some unresolved questions and areas for future research

foreign investment and ethics how to contribute to social responsibility by doing business in less developed countries do foreign direct investment fdi and international business ventures promote positive social and economic development in emerging nations this question will always prove contentious first the impacts differ according to context second the social consequences and spillover effects of knowledge diffusion and technology sharing may be limited and hard to measure third contributions to enhancing social responsibility and improving living standards in host countries are delayed in effect causally complex and also hard to measure outcomes often critically depend on collaboration of governments international institutions the business world and non governmental organizations ngos research in this area is challenging and requires interdisciplinary collaboration between economists financial experts sociologists ethicists and other specialists this paper explores 1 the evidence to support the proposition that fdi and international business improve social conditions in less developed countries and 2 how these improvements are linked to strategies of corporate social responsibility csr and ethical business practice the paper draws insights from development fdi poverty alleviation and bottom of the pyramid bop literature applications are demonstrated using examples from poverty stricken areas of sub saharan africa the paper attempts not only to argue theoretically but also to provide practical evidence the approach is simultaneously descriptive analytical and prescriptive in order to address a wide audience it also highlights issues and trends for further academic research and presents the viewpoint that some limitations lie in the nature of ethics frameworks widely referenced in business and that these often fail to consider the compatibility of ethical constructs with relevant incentives in this vein we explore the application of homann s framework for advantage and incentive based ethics

does home bias affect firm value evidence from holdings of mutual funds worldwide this study finds strong evidence that home bias affects firm valuation at both country and firm levels at the country level increasing the bias of domestic investors toward home equity lowers the market valuation of home equity at the firm level firm value increases as the compositions of local equities held by domestic and foreign investors tend toward the firms global market capitalization weights but decreases as their weights deviate from global weights overall the evidence is consistent with the optimal global risk sharing hypothesis that the greater risk sharing between domestic and foreign investors in international capital markets reduces the cost of capital and hence enhances market valuation

the effects of market segmentation and investor recognition on asset prices evidence from foreign stocks listing in the united states non u s firms cross listing shares on u s 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 following listing we show how these unusual share price changes are robust to changing market risk exposures and are related to an expansion of the shareholder base and to the amount of capital raised at the time of listing our tests provide support for the market segmentation hypothesis and merton s 1987 investor recognition hypothesis the globalization of u s capital markets has accelerated dramatically in the past decade increasing numbers of companies from overseas have chosen to either raise capital through global equity issues or prepare for future capital raising by way of cross listings on u s exchanges as of 1997 about 1 300 non u s companies have listed their shares for trading on the new york stock exchange nyse the american exchange amex the national association of securities dealers automation quotation nasdaq system or

does the bonding effect matter in a more integrated capital market world abstract this paper examines the bonding effect of cross listing before and after the stock market liberalization reforms in china consistent with the bonding hypothesis we find that chinese firms with foreign listings attain higher valuations than firms without foreign listings we also find that they manage earnings less than comparable purely domestic listed firms and have more informative stock prices further investigation indicates that the divergence in earnings quality between cross listed and non cross listed firms shrinks dramatically after the chinese stock market liberalization reforms in 2001 and 2002 overall the results suggest that the bonding effect is mitigated in an increasingly integrated capital market world

compensation across executive labor markets what can we learn from cross listed firms there is wide consensus that chief executive officers ceos of us firms earn significantly more than their canadian counterparts using a matched sample we find that the majority of this difference is due to us ceos earning 50 more than ceos of canadian non cross listed firms we find no such us premium for canadian cross listed firms because the use of options allows the cross listed firms to keep pace with their neighbors to the south while firms that list only in canada compete in the labor market defined by their national boundary cross listed firms appear to be competing directly with their us counterparts for executive talent in investigating alternative explanations for the elimination of the compensation differential for canadian cross listed firms we find evidence consistent with both the bonding and the rent extraction hypotheses

capital controls and international capital market segmentation the evidence from the japanese and american stock markets the paper focuses on two countries japan and the u s to test the integration of capital markets in japan the enactment of the foreign exchange and foreign trade control law in december of 1980 amounted to a true regime switch that virtually eliminated capital controls using multifactor asset pricing models we show that the price of risk in the u s and japanese stock markets was different before but not after the liberalization this evidence supports the view that governments are the source of international capital market segmentation the notion that world capital markets are perfectly integrated is central to most theoretical developments in both international finance and macroeconomics indeed it also lies behind much of the recent international policy discussion capital markets are integrated if assets with perfectly correlated rates of return have the same price regardless of the location in which they are traded 1 segmentation may arise either because of government impediments to capital movements or because of individuals attitudes or irrationality if the hypothesis that the international capital markets are integrated is rejected there is still an important empirical question left unanswered which is related to the source of segmentation while there is a rich body of theoretical research on international market integration only a few studies have tried to investigate this important question empirically a first group of empirical studies on market integration has generally adopted

global factors uncertainty weather conditions and energy prices on the drivers of the duration of commodity price cycle phases abstract we investigate the role of global factors in explaining the length of commodity price cycle phases using a continuous time weibull duration model and data for a panel of 33 countries over the period 1980q1 2015q4 we find evidence of increasing constant positive duration dependence for commodity price booms and busts normal time spells global macroeconomic conditions in particular inflation economic policy uncertainty and monetary policy actions significantly affect the duration of all commodity price cycle phases global environmental conditions also impact the duration of commodity price booms with a rise in average temperature rainfall increasing reducing their length a rise in the number of military conflicts around the globe is associated with shorter booms and busts finally we find that a rise in oil prices is linked with longer booms and shorter busts

why do markets move together an investigation of u s japan stock return comovements 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 receipts adrs and a matched sample portfolio of u s stocks we find that u s macroeconomic announcements shocks to the yen dollar foreign exchange rate and treasury bill returns and industry effects have no measurable influence on u s and japanese return correlations however large shocks to broadbased market indices nikkei stock average and standard and poor s 500 stock index positively impact both the magnitude and persistence of the return correlations stock return cross country covariances play a key role in international finance changes in these covariances affect the volatility of portfolios and asset prices as these covariances increase one expects that a fewer domestic risks are internationally diversifiable so portfolio volatility increases b the risk premium on the world market portfolio increases 1 c the cost of capital increases for individual firms and d the domestic version of the capm becomes increasingly inadequate 2 despite the important economic consequences of changes in cross country covariances the determinants of the levels and dynamics of these covariances have been little studied from an academic

reinventing strategies for emerging markets beyond the transnational model with established markets becoming saturated multinational corporations mncs have turned increasingly to emerging markets ems in the developing world such em strategies have been targeted almost exclusively at the wealthy elite at the top of the economic pyramid recently however a number of mncs have launched new initiatives that explore the untapped market potential at the base of the economic pyramid the largest and fastest growing segment of the world s population reaching the four billion people in these markets poses both tremendous opportunities and unique challenges to mncs as conventional wisdom about mnc global capabilities and subsidiary strategy in ems may not be appropriate how mncs can successfully enter these low income markets has not been effectively addressed in the literatures on global and em strategies an exploratory analysis involving interviews with mnc managers original case studies and archival material indicates that the transnational model of national responsiveness global efficiency and worldwide learning may not be sufficient results suggest that the success of initiatives targeting low income markets is enhanced by recognizing that western style patterns of economic development may not occur in these business environments business strategies that rely on leveraging the strengths of the existing market environment outperform those that focus on overcoming weaknesses these strategies include developing relationships with non traditional partners co inventing custom solutions and building local capacity together these successful strategies suggest the importance of mncs developing a global capability in social embeddedness