Fractional cointegration of voting and non-voting shares
نویسندگان
چکیده
منابع مشابه
Fractional cointegration of voting and non-voting shares
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 are fractionally cointegrated, future returns of at least one of the stocks can be predicted by past...
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Several papers suggest that private benefits can explain the differential pric ing between share classes with differential voting rights. However 1 in Brazil the price differential between voting and non-voting shares has been negative for sev eral companies between July 1994 and September 2002. This paper investigates the determinants that imply this discount of voting shares vis-a.-vis non-...
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ژورنال
عنوان ژورنال: Applied Financial Economics
سال: 2001
ISSN: 0960-3107,1466-4305
DOI: 10.1080/096031001300138726