We analyze and compare the underpricing and buy-and-hold abnormal returns of depositary receipt equity offerings with preceding domestic seasoned equity offerings of the same firms to identify differences and motivations for cross-listings and domestic equity offerings free of any matching bias....

We investigate how globalization is reflected in asset prices. We use shipping costs to measure firms' exposure to globalization. Firms in low shipping cost industries carry a 7 percent risk premium, suggesting that their cash-flows covary negatively with investors' marginal utility. We find...

This paper examines how the anchoring effect causes investor underreaction to global firm-specific news. Using a high-frequency methodology to identify news events for stocks in 23 developed countries from 2004 to 2021, the results show that investors tend to hold on to their initial beliefs...

This paper estimates global bad and good uncertainties from monthly data on industrial production from a large set of countries. Bad and good uncertainties have opposite effects on macro aggregates and stock returns. An increase in bad uncertainty adversely impacts both, while an increase in...

Although real integration conceptually plays an important role for the comovement of international equity markets, documenting this link empirically has proven challenging. We construct a new dataset of theory-guided, relevant measures of bilateral trade in final and intermediate goods and...

We study the returns of stocks from twenty-one frontier markets divided into the four regions of Europe, Africa, Middle East and Asia from January 2006 to June 2016. Factor mimicking portfolios based on market capitalization (SMB), book-to-market equity (HML), and momentum (WML) are constructed...

Using the multivariate quantile model, this paper develops a global economic policy uncertainty (EPU) spillover measure for each country, and investigates the spillover effects on the country-level stock market idiosyncratic volatility across a sample of 23 economies. The regression results show...

We propose a proxy for global equity mispricing (mispricing $R^2$) based on an instrumented principal component analysis of the return variation of 198 mispricing anomalies. We find that mispricing $R^2$ is higher for countries with lower market development, lower accounting quality, and higher...

Although real integration conceptually plays an important role for the comovement of international equity markets, documenting this link empirically has proven challenging. We construct a new dataset of theory-guided, relevant measures of bilateral trade in final and intermediate goods and...