This paper reports on an extensive Monte Carlo study of seven residual-based tests of the hypothesis of no cointegration. Critical values and the power of the tests under the alternative of fractional cointegration are simulated and compared. It turns out that the Phillips-Perron t-test when...

Voting and non-voting shares of ten German companies are analyzed for fractional cointegration. It turns out that seven pairs of price series are fractionally cointegrated, which means that for each pair there is a linear combination of the two series that is a long-memory process. If two stocks...

This paper shows that open market block trading can provide a link between private benefits of control enjoyed by large shareholders and the "voting premiumʺ, i.e. the price difference between voting and non-voting shares. We first demonstrate in a microstructure model with informed traders and...