Private information is more important for infrequently traded stocks. The correlation between a relative measure of informativeness and the spread provides further support for the previous empirical observation that these two variables measure different things and should not be used interchangeably. Forthcoming Spring 2000. We examine the long-run stock price and operating performance of companies that withdraw seasoned equity offerings. Firms that withdraw an offering provide an opportunity to examine whether markets fully adjust to the information conveyed when managers announce the intent to issue shares, independent of any agency problems that might be intensified by the completion of the offering.
Results are consistent with overpricing among small firms that attempt, but then withdraw, SEOs.
Forthcoming Summer 2000. In this study we use the latent variable asset pricing model to examine the pricing of A and B shares in the China stock markets. The hypothesis tested is whether markets for the A and the B shares of the same companies are segmented. We document only one latent variable in both A and B share markets. However, the latent risk premiums for the A and B shares are only weakly correlated, indicating the two-tier markets are loosely related.