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「International Review of Finance」/No.3-1

論文名

The Relative Importance of Domestic and Global Factors in Explaining Australian Stock Returns

執筆者名

Peter Clarkson/Vanitha Ragunathan/John Nowland

詳 細  
No,1/2002-03
開始ページ:p1
終了ページ:p25

The Relative Importance of Domestic and Global Factors in Explaining Australian Stock Returns
Peter Clarkson (UQ Business School, The University of Queensland)
Vanitha Ragunathan (Faculty of Business Administration, Simon Fraser University)
John Nowland (Faculty of Business Administration, Simon Fraser University)

In this study, we explore the relative importance of the several documented factors in explaining the behaviour of stock returns for a sample of 157 Australian companies over the period 1993-9. In line with prior evidence, we contend that the Influence of global (market, industry and currency) factors is related to the extent of a firm’s international activity. We find that Australian firms are in large part impacted by domestic factors with the level of sensitivity declining as the level of international activity increases. In contrast to prior literature, we also show that Australian firm returns are relates to regional market, global industry and currency factors and the firm’s sensitivity to these factors is an increasing function of its level of international activities.
*The authors would like to thank Robert Brooks, Mary Rose Cooney, Frank Finn, Phil Gray, Stephen Gray, the workshop participants at the University of Otago, the 2000 AAANZ and the 2000 Asia-Pacific Finance Association conferences, the editors, Nai-fu Chen and Sheridan Titman, and an anonymous referee for comments on previous versions of the paper. The authors would also like to thank Bradley Hopkins for his research assistance. Vanitha Ragunathan would like to thank The University of Queensland New Staff Research Grant for financial support. Previous versions of this paper were presented under the title ‘The Factors that Influence Equity Returns’.

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論文名

Foreign Firms Issuing Equity on US Exchanges: An Empirical Investigation of IPOs and SEOs

執筆者名

Padma Kadiyala/Avanidhar Subrahmanyam

詳 細  
No,2/2002-03
開始ページ:p27
終了ページ:p51

Foreign Firms Issuing Equity on US Exchanges: An Empirical Investigation of IPOs and SEOs
Padma Kadiyala (Krannert School of Management, Purdue University)
Avanidhar Subrahmanyam (Anderson Graduate School of Management, University of California at Los Angeles)

We analyse a sample of foreign firms issuing equity in the USA to determine the factors that affect IPO and SEO pricing. The average SEO discount, defined as the percentage difference between the price in the local market on the offering date and the SEO offer price, is 2.07%, and is significantly lower for stocks that are ultimately listed on the NYSE/AMEX than for stocks that are listed on the Nasdaq. Foreign equity issues are underpriced; the traditional underpricing discount, which is defined as the percentage difference between the closing price on the first day of trading and the offer price, is 18.75% on average. Equity issuers from industry groups with the largest six-month pre-IPO return in the US market experience a higher level of underpricing. For the subsample of emerging market issues, we document that, in the after-market, the ADR price remains persistently above the dollar denominated price in the domestic market for up to 90 days following the date of the issue.*We are grateful to an anonymous referee and Sheridan Titman (the editor) for constructive and insightful suggestions. We also thank Mike Cooper, Mike Cliff, Dave Denis, John Griffin, Andrew Karolyi, John McConnell and Jay Ritter for helpful comments.

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論文名

Managerial Opportunism and Capital Structure Asjustments: Equity-for-debt Swap and Convertible Debt

執筆者名

Nobuyuki Isagawa

詳 細  
No,3/2002-03
開始ページ:p53
終了ページ:p69

Managerial Opportunism and Capital Structure Asjustments: Equity-for-debt Swap and Convertible Debt
Nobuyuki Isagawa (Graduate School of Business Administration, Kobe University)

This paper shows how capital structure adjustments through an equity-for-debt swap and convertible debt can resolve the inefficiency caused by managerial opportunism. We consider a situation in which a corporate manager’s investment decision is affected by the firm’s debt level. Although both an equity-for-debt swap and convertible debt can induce the self-interested manager to undertake only value-increasing projects through capital structure adjustments, there exists a significant difference between these two financial instruments. An equity-for-debt swap, which requires the agreement of both shareholders and debt holders, can change a firm’s debt level only prior to the manager’s investment decision. On the other hand, convertible debt, which gives debt holders a unilateral right to convert, can change a firm’s debt level even after the manager’s investment decision.
*The author would like to thank Motonari Kurasawa, Neal Stoughton (the editor), Sheridan Titman (the managing editor), an anonymous reviewer and the seminar participants at the 2000 Nippon Finance Association Annual Conference for their helpful comments. This research was supported in part by a Grant-in-Aid for Scientific Research from the Ministry of Education, Science and Culture.

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