00Thaler_FM i-xxvi.qxd

Stein, Jeremy C., Rational Capital Budgeting in an Irrational World, 1996, J. Bus. 69, 429–55. Vijh, Anand M., Long-Term Returns ...

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Chapter 3 HOW ARE STOCK PRICES AFFECTED BY THE LOCATION OF TRADE? Kenneth A. Froot and Emil M. Dabora 1 .Introduction The classi ...

STOCKS AFFECTED BY LOCATION OF TRADE? 103 Royal Dutch (which trades relatively more in New York) tends to rise rela- tive to the ...

What sources of international segmentation might explain our findings? One hypothesis, which we discuss below, is that of cross- ...

STOCKS AFFECTED BY LOCATION OF TRADE? 105 adjusting for corporate tax considerations and control rights, are effectively split i ...

106 FROOT AND DABORA 2.2. Unilever N.V. and Unilever PLC Unilever N.V. and Unilever PLC are independently incorporated in the Ne ...

STOCKS AFFECTED BY LOCATION OF TRADE? 107 Table 3.1 Distribution of Share Ownership and Trading Volume Across Markets Panel A: O ...

3 .Empirical Hypotheses and Tests Our null hypothesis is that relative twin prices should be uncorrelated with everything. Our a ...

the slope coefficients are zero. Under the alternative hypothesis, the more a stock trades on a given market, the higher its est ...

We also examine the twin price differential for evidence of univariate mean reversion at very low frequencies. Specifically, we ...

stocks comprise only a small part of index capitalization. To see this, one can estimate the approximate bias in the coefficient ...

5 .Results 5.1. Alternative Specifications Tables 3.2–3.4 report estimates of Eq. (1) for Royal Dutch/Shell, Unilever N.V./PLC, ...

STOCKS AFFECTED BY LOCATION OF TRADE? 113 5.2. Estimates The results in tables 3.2–3.4 strongly reject the perfect-integration h ...

Table 3.2 Royal Dutch/Shell Price Differentials and Market Movements This table reports regression estimates of the equation:whe ...

7, 1980–1995 15 days 0.233 2.49 254 0.116 c − 0.370 c 0.213 c − 0.126 b − 0.287 c (0.048) (0.048) (0.053) (0.059) (0.070) 8, 198 ...

Table 3.3 Unilever N.V./Unilever PLC Price Differentials and Market Movements This table reports regressions estimates of the eq ...

7, 1980–1995 15 days 0.239 2.44 254 0.095 b − 0.436 c 0.253 c − 0.146 b − 0.291 c (0.057) (0.059) (0.050) (0.068) (0.102) 8, 198 ...

Table 3.4 SmithKline Beecham Price Differentials and Market Movements This table reports regressions estimates of the equation:w ...

(0.064) (0.053) (0.045) 6, 7/89–12/95 5 days 0.167 2.68 330 − 0.460 c 0.380 c 0.136 c (0.069) (0.055) (0.051) 7, 7/89–12/95 15 d ...