Anis Samet

The Choice of ADRs

We study the determinants of a firms decision to issue one of the four available ADR programs (Level I, Level II, Level III, and Rule 144A). We find that the firms attributes (size, income, asset growth, leverage, privatization, ownership structure, and country-of-origin) and the firms home-country institutional variables (accounting rating and legal protection of minority shareholders) condition this choice. We also examine the issuing activity and the determinants of the ADR choice before and after the enactment of the Sarbanes-Oxley (SOX) Act. Following this structural change, we provide evidence of a reallocation between ADR programs. Compared to the pre-SOX period, firms from emerging markets, and those from countries with weak legal protection of minority shareholders, are more likely after SOX to choose Rule 144A and Level III, respectively.

Pricing, Dynamics, and Determinants of Illiquidity Risks: International Evidence

We estimate conditional LCAPM illiquidity risks for common stocks in emerging and developed markets. We find that illiquidity risks are determined by local factors for both markets and are more strongly priced in emerging markets. Illiquidity risks exhibit no time trend and experienced an increase during the recent financial crisis that is not completely reversed a year after. Finally, we explore the determinants of illiquidity risks and find that business cycle determinants have similar explanatory ability in both sets of markets, while the effect of monetary policy and liquidity funding is more strongly supported in developed and emerging markets, respectively.

Commonality in Liquidity: The Culture Channel

In this paper, we explore the link between culture, measured by collectivism, and commonality in liquidity for 51 countries over the period 1985 to 2012. We provide evidence that commonality in liquidity is higher for stocks that trade in collectivist countries, after controlling for supply-side and demand-side determinants of liquidity as well as a host of country- and firm-level variables. The impact of collectivism is statistically and economically significant. Our findings are robust to: alternative proxies for collectivism, sample composition, endogeneity concerns, and alternative estimation methodologies. We finally observe that collectivism has a stronger influence on co-movements between stock and market liquidity when both are simultaneously decreasing.