They do! Otherwise, their use would not have been so prevalent among firms. How much firm value they create, however, is still an open question. Exploiting a political event in the U.K. that suddenly raised the cost of using tax havens, we find that there was a 0.87% reduction in cumulative abnormal return (CAR) among the sampled firms, corresponding to about £532 million in market capitalizati...

This study test the impact of financial markets development on capital structure of firms listed on Ho Chi Minh stock exchange (HOSE). Base on the financial data of 116 firms listed on HOSE, in the period from 2009 to 2015 and generalized least square regression method, this study shows that market capitalization is positive relationship with debt rate in capital structure, volume of shares tra...

This paper develops a search-theoretic model of the cross-sectional distribution of asset returns, abstracting from risk premia and focusing exclusively on liquidity. I derive a float-adjusted return model (FARM), explaining the pricing of liquidity with a simple linear formula: In equilibrium, the liquidity spread of an asset is proportional to the inverse of its free float, the portion of its...

The investments needed to bring a software project to the market are substantial and can extend over several years. Managing software development requires not only technical expertise, but communication with funders and economists. This paper presents methods to estimate a parameter which captures the effective investment time, lag. The lag parameter is useful in assessing progress towards the ...

Ž . We examine the pricing of initial public offering IPO and seasoned equity offering Ž . SEO firms using a stochastic frontier methodology. The stochastic frontier framework models the difference between the maximum possible value of the firm and its actual market capitalization at the time of the offering as a function of observable firm characteristics. Using a new data set, we find that co...

This study examines whether the corporate governance rankings published by The Globe and Mail, a reputed national Canadian newspaper, are reflected in the values that investors accord to firms. A sample of 796 observations on 289 Canadian companies from 2002-2005 inclusively was analyzed using a price model (CazavanJeny and JeanJean, 2006). Results suggest that the corporate governance rankings...

Much has been learned about calculation, commodification and marketization from the social studies of markets and finance. But what of capitalization? What is distinctive about this mode of valuation and the reality it impels? What does it mean to live under the ‘asset condition’? In Capitalization: A Cultural Guide, Fabian Muniesa and his colleagues at the Centre de Sociologie de l’Innovation ...

The inability to predict the future growth rates and earnings of growth stocks (such as biotechnology and internet stocks) leads to the high volatility of share prices and difficulty in applying the traditional valuation methods. This paper attempts to demonstrate that the high volatility of share prices can nevertheless be used in building a model that leads to a particular cross-sectional siz...

The data presented in this article are related to the research article entitled "Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation. North American Journal of Economics and Finance, 40, 116-135. doi:10.1016/j.najef.2017.02.006 (Li, 2017) [1]. Data on daily stock index return for the Canadian, UK, and US equity markets, as compiled by Mor...

An equity market is called “diverse” if no single stock is ever allowed to dominate the entire market in terms of relative capitalization. In the context of the standard Itô-process model initiated by Samuelson (1965) we formulate this property (and the allied, successively weaker notions of “weak diversity” and “asymptotic weak diversity”) in precise terms.We show that diversity is possible to...