One For All or All For One? Using Multiple-listing Information in Event Studies

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Title

One For All or All For One? Using Multiple-listing Information in Event Studies

Content partner

University of Canterbury Library

Collection

UC Research Repository

Description

In an event study where at least some of the sample firms have their equity securities listed in more than one market, the question arises as to which is the most appropriate market (or markets) to use for the purpose of estimating average abnormal returns. When arbitrage activity across these markets is restricted in some way, estimating abnormal returns from just one of the listings potentially throws away valuable information. On the other hand, indiscriminate pooling is likely to result i...

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Format

Research paper

Research format

Working or discussion paper

Date created

2011

Creator

Boyle, G. / Gu, L. / Reed, W.R.

URL

http://hdl.handle.net/10092/5412

Related subjects

event study / multiple listings / mergers and acquisitions / China / Commerce, Management, Tourism and Services / Banking, Finance and Investment / Banking, Finance and Investment not elsewhere classified / Economics / Economic theory / Mathematical economics

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More Information

You can learn more about the rights status of this item at: https://hdl.handle.net/10092/17651

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