We estimate and compare a variety of continuous‐time models of the short‐term riskless
rate using the Generalized Method of Moments. We find that the most successful models in …

There has long prevailed a conventional wisdom rationalizing why firms pursue overseas
listings. It argues that firms seek such opportunities to benefit from a lower cost of capital that …

At the end of 1997, foreign companies with shares cross-listed in the US had Tobin's q ratios
that were 16.5% higher than the q ratios of non-cross-listed firms from the same country. …

This paper develops and tests a model of how country characteristics, such as legal protections
for minority investors and the level of economic and financial development, influence …

This article proposes a new approach to evaluate contagion in financial markets. Our measure
of contagion captures the coincidence of extreme return shocks across countries within a …

Non‐US firms cross‐listing shares on US exchanges as American Depositary Receipts earn
cumulative abnormal returns of 19 percent during the year before listing, and an additional …

This article explores the fundamental factors that affect cross‐country stock return correlations.
Using transactions data from 1988 to 1992, we construct overnight and intraday returns …

We review the international finance literature to assess the extent to which international factors
affect financial asset demands and prices. International asset-pricing models with mean-…

We examine how commonality in liquidity varies across countries and over time in ways
related to supply determinants (funding liquidity of financial intermediaries) and demand …

This study examines the short-run dynamics of returns and volatility for stocks traded on the
New York and Toronto stock exchanges. The main finding is that inferences about the …