TAILIEUCHUNG - WHY DO COMPANIES LIST SHARES ABROAD?: A SURVEY OF THE EVIDENCE AND ITS MANAGERIAL IMPLICATIONS

Fourth, the model provides a rational to the empirical nding that volatility factors are priced in the cross section of stock returns. In the current model, stock return volatility factors are driven by systematic risk factors: sentiment and solvency risks. These factors, which drive volatility factors, are shown to be priced across di¤erent stocks in an equilibrium consumption CAPM. On the technical side, I use the martingale approach to solve for the equilibrium for a general shadow price of solvency constraints, and then solve for the equilibrium shadow price of solvency constraints which is consistent with optimal consumption and market clearing. To my knowledge, this is the. | Why Do Companies List Shares Abroad A Survey of the Evidence and Its Managerial Implications BY G. Andrew Karolyi The purpose of this monograph is to survey the academic literature on the economic implications of the corporate decision to list shares on an overseas stock exchange. My focus is on the valuation and liquidity effects of the listing decision and the impact of listing on the company s global risk exposure and its cost of equity capital. The evidence shows 1 share prices reacts favorably to cross-border listings in the first month after listing 2 post-listing price performance up to one year is highly variable across companies depending on the home and listing market its capitalization capital-raising needs and other company-specific factors 3 post-listing trading volume increases on average and for many issues home-market trading volume increases also 4 liquidity of trading in shares improves overall but depends on the increase in total trading volume the listing location and the scope of foreign ownership restrictions in the home market 5 domestic market risk is significantly reduced and is associated with only a small increase in global market risk and foreign exchange risk which can result in a net reduction in the cost of equity capital of about 126 basis points 6 American Depositary Receipts represent an effective vehicle to diversify investment programs globally 7 stringent disclosure requirements are the most important impediment to cross-border listings. I. INTRODUCTION The globalization of the marketplace for capital has fostered tremendous competition among the major overseas stock exchanges to capture the growing demand and supply for cross-border equity flows. During the 1980s individuals and institutions began investing funds in foreign equity markets to diversify their portfolios and to earn higher risk-adjusted yields than was possible with a fully domestic portfolio. At the end of 1995 . stocks in . pension and .

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