Although stock splits seem to be purely cosmetic, there is ample empirical evidence that they are associated with abnormal returns. This study analyzes the effect of stock splits using intraday data and insider trading data in Hong Kong from 1980 to 2000. Consistent with the findings of other...

Cost of equity estimates are compared for three pricing models: the traditional local CAPM, the single (market) factor global CAPM, and the two-factor global CAPM, with both market and currency index factors. For 2989 US stocks, the average difference in the cost of equity estimates is about 48...

I show how a company can estimate consistent costs of capital across currencies in integrated financial markets. I use two relatively ignored results: (1) If the global CAPM holds for unhedged returns in US dollars, a two-factor risk-return relationship (with FX risk) generally must hold in...

This study investigates the announcement and issuance effects of offering convertible bonds and exchangeable bonds using data for the Swiss and German market during January 1996 and May 2003. The analysis shows that announcement effects of convertible bonds and exchangeable bonds are associated...

This paper examines the time variation form of the systematic risk measurement, betas, of Australian industry sectors. By using a semi-parametric approach, the variation of the systematic risk measurement, beta, is a combination of one stable parametric component and one varying non-parametric...

The objective of this study is to investigate the relationship between stock market performance and ownership structure during plummeting and soaring financial markets in a Continental-European setting. Our results show the importance of ownership concentration, the presence of secondary...

Empirical studies evaluating the impact of accounting information on the stock market have acquired great importance in the accounting literature and have become an instrument to assess the relevance and usefulness of accountancy itself. Following this path, we investigate the impact of the...

In most countries, many of the largest corporations are controlled by large shareholders. We show that, under reasonable assumptions, this stylized fact implies that portfolio holdings of U.S. investors should exhibit a home bias in equilibrium. We construct an estimate of the world portfolio of...

In this study, we examine the impact of the European Central Bank’s (ECB) corporate sector purchase programme (CSPP) on euro area non-financial firms’ cost of borrowing and choice between bank and public debt. Using a large sample of corporate bonds and syndicated loans closed between 2000...

To contribute to the understanding of investment funds' (IFs) behaviour, the paper exploits the exogenous shock of the COVID-19 pandemic and analyses more than 12 million security sales and purchases during the first four months of 2020 by over 20,000 IFs from more than 40 national jurisdictions...