The Toronto Futures Exchange introduced interest rate futures contracts in September 1980 to provide Canadian market players with the ability to hedge their positions against interest rate fluctuations. Instruments for both ends of the term structure were introduced: A 91-day Government of...

We investigate the joint dynamics of returns and trading volume of 556 foreign stocks cross-listed on U.S. markets. Heterogeneous-agent trading models rationalize how trading volume reflects the quality of traders' information signals and how it helps to disentangle whether returns are...

We measure arbitrage opportunities by comparing the intraday prices and quotes of American Depositary Receipts (ADRs) and other types of cross-listed shares in U.S. markets with synchronous prices of their home-market shares on a currency-adjusted basis for a sample of 506 U.S. cross-listed...

We investigate the performance of conditional hedging strategies in the context of banker's acceptance positions. This strategy is based on the GARCH methodology developed by Engle (1982) and Bollerslev (1986), and incorporates information contained in past return innovations as well as past...

In its June 2010 Morrison v. National Australia Bank ruling, the U.S. Supreme Court unexpectedly decided that key fraud-related provisions of U.S. securities laws would only apply to transactions in foreign securities that take place on U.S. exchanges. We document a statistically significant and...

This paper investigates how the degree of managerial expropriation affects equity volatility of individual firms. We develop a corporate finance model with endogenous financing policies and manager-shareholder agency conflicts, and identify two countervailing forces. First, in response to...

In this paper, we document that US cross-listed firms experience negative return spillovers in the three-day event window centered on the filing of US class action lawsuits launched against their country peers. This spillover effect is both economically large (-0.139%) and statistically...

This paper investigates the dynamic and portfolio effects in a multi-currency hedging problem which incorporates both risk-reduction and speculative components for the futures demand. We model the joint evolution of daily spot portfolio returns and log-differences of the corresponding futures...

Using intraday prices for the Samp;P 500 and Nikkei Stock Average and aggregate trading volume for the New York and Tokyo Stock Exchanges, we show how short-run comovements between national stock market returns vary over time in a way related to the trading volume and liquidity in those markets....