Gregory Noronha

Testing for micro-structure effects of international dual listings using intraday data

Abstract This paper examines the impact on the liquidity of NYSE/AMEX listed stocks when they were subsequently listed on the London or the Tokyo Stock Exchanges. It can be argued that the increased competition from foreign market makers will reduce the monopoly rents that specialists can earn, thereby improving their quotes. We find, however, that spreads do not decrease following a dual listing, though the depth of the quotes increases as predicted. The apparent increase in depth disappears once we account for changes in price, volume and return variance. We also find that the level of informed trading increases, which increases the cost to the specialist of providing liquidity, and explains why spreads do not decline in spite of increased competition. Consistent with an increase in informed trading, we also document an increase in trading activity.

The monitoring rationale for dividends and the interaction of capital structure and dividend decisions

Abstract This paper develops an agency-cost framework for the simultaneous determination of a firms capital structure and dividend decisions. In the model, simultaneity is contingent on the applicability of Easterbrooks (1984) monitoring rationale for paying dividends, which, in turn, is hypothesized to depend on the existence of alternative sources of monitoring. Estimations of the Rozeff (1982) specification for dividend payout for subsamples stratified according to the prevalence of non-dividend monitoring mechanisms and growth-induced capital market monitoring, confirm the sample-specific validity of the monitoring rationale. A simultaneous system of equations is then estimated and, consistent with our hypothesis, simultaneity between capital structure and dividend decisions is observed only for the subsample in which the monitoring rationale for dividends is found applicable.

Long-term and short-term price memory in the stock market

Abstract In this study we examine the issue of memory in common stock returns through an analysis of short- and long-term dependencies in various equity return series. We conclude that there is no compelling evidence that would support a finding of systematic dependencies in the behavior of equity returns.

European Corporate Governance: A Thematic Analysis of National Codes of Governance

Using Latent Semantic Analysis techniques to analyse the corporate governance codes of 23 EU nations, we obtain a number of new findings regarding their thematic content, variability, and convergence. We determine that these codes can be decomposed into five common themes, with substantial cross‐sectional variability in their relative importance. We also find that the themes contained in these codes cluster in ways that are not fully consistent with the legal regime classifications of La Porta et al. (1997) , leading us to construct two new country clusters. We further discover that the identity of the code issuer (e.g., government versus stock exchange) is important in explaining a codes primary theme as well as changes in theme prominence over time. Finally, we fail to find evidence of an unchecked thematic convergence towards an Anglo‐Saxon model of corporate governance, with some code themes converging to UK practices while others diverge.

The Effect of Crosslisting on Corporate Governance: A Review of the International Evidence

Manuscript Type: Review Research Question: This review essay examines the mechanisms by which crosslisting of a firm’s shares on a foreign stock exchange and its subsequent exposure to an international capital market can induce changes in corporate governance. We also review reasons why a firm might elect to use crosslisting to improve investor perception of the quality of its governance. Research Findings/Results: After a review of the existing literature, we conclude that there is substantial support for legal bonding in the decision to crosslist, with lesser evidence consistent with reputational bonding. We also conclude that firm growth opportunities and the need for external capital are critical factors in a decision to crosslist. Theoretical Implications: This study synthesizes the extensive empirical work done on crosslisting and consequent changes in corporate governance structures. It also highlights a number of areas that require further research including more direct testing of governance changes following crosslisting, the effect of crosslisting on corporate equity ownership structures, and the investment/new securities issuance behavior of firms subsequent to crosslisting. This research will help to chart the path of future academic study by scholars of international corporate governance. Practical Implications: This review of the empirical evidence will contribute to the identification of a set of best practices that can lead to improved governance for firms worldwide. Furthermore, the discussion of what remains unexamined by governance researchers will help to shape the contours of future policy and legislative debate.

Financial health and airline safety

A voter subsystem for a multiple node fault tolerant system having an upper medial value sorter for sorting a plurality of received values to generate an upper medial value and a lower medial value sorter for sorting the same plurality of received values to generate a lower medial value. An averaging circuit adds the upper and lower medial values then divides by two to generate a voted value. A deviance checker checks each of the plurality of received values against the voted value to generate a deviance error for each received value which differed from the voted value by a predetermied amount. A loader loads the plurality of received values into the upper and lower medial value sorters and the deviance checker bit-by-bit, starting from the most significant bit positions through the least significant bit positions. The upper and lower medial value sorters and deviance checker process the received values on-the-fly in the order they are received.

Index Changes and Losses to Index Fund Investors

Because of arbitrage around the time of index changes, investors in funds linked to the S&P 500 Index and the Russell 2000 Index lose between

Causal relations among stock returns, inflation, real activity, and interest rates: Evidence from Japan

1.0 billion and

IPO underpricing over time: evidence from the UK

2.1 billion a year for the two indices combined. The losses can be higher if benchmarked assets are considered, the pre-reconstitution period is lengthened, or involuntary deletions are taken into account. The losses are an unexpected consequence of the evaluation of index fund managers on the basis of tracking error. Minimization of tracking error, coupled with the predictability and/or pre-announcement of index changes, creates the opportunity for a wealth transfer from index fund investors to arbitrageurs.

The More, the Merrier: An International Analysis of the Frequency of Dividend Payment

Previous studies reveal a negative correlation between stock returns and inflation but do not fully specify the relationship or resolve the direction of causality. The possible explanations are (1) that inflation shocks negatively affect real output and the negative relationship among stock returns and thus inflation serves as a proxy for the positive relationship between stock returns and real variables (i.e., inflation predicts real activity) and (2) that unexpected changes in stock prices cause changes in inflationary expectations. The authors apply the state space econometric method to investigate Japanese data concerning the existence and direction of Granger causation among stock returns, inflation, real activity, and interest rates.