This paper studies covered interest parity arbitrage violations in foreign exchange markets and their relationship with market liquidity using a novel and unique dataset of tick-by-tick firm quotes for all financial instruments involved in the arbitrage strategy. The statistical analysis reveals...

We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less...

This paper compares the intra-day patterns on the NYSE and AMEX of volatility, trading volume and bid-ask spreads for European dually- listed stocks, Japanese dually-listed stocks also listed in London, and Japanese dually-listed stocks not listed in London with American stocks of comparable...

This paper examines the information content of domicile relocation announcements of Hong Kong listed companies. The results suggest that investors regard the disadvantages of domicile relocation as more significant than the advantages. There are statistically significant negative abnormal...

We investigate rights issues and open offers in Hong Kong. We observe that the greater the severity of firms’ management-agency problems, the more unfavourably shareholders tend to react, leading to more negative cumulative abnormal returns or rights forfeiture. Controlling shareholders do not...

This article investigates the effects of privatization on corporate performance in China. We focus on two very different industries: the manufacturing industry--the largest (relatively) competitive industry in China--and the basic material industry--the largest industry protected and closely...