m pa nies have lower rela tive bid- ask spreads than
non- cross- listed com panies, ce teris pari bus.
Managerial
Finance 64
Hypothesis 2: Cross- listed com pa nies have higher depths than non- cross- listed
companies, ce teris pari bus.
The em pirical re sults con firm both hy potheses and al low us to con clude, un ambiguously,
that cross- listed firms are more liq uid than their non- cross- listed coun terparts.
These find ings are use ful to cor porate man agers be cause of the in verse re lationship
between a firm’s li quidity and its cost of capi tal (Ami hud and Men delson (1986)). Re cent
empirical evi dence con firms that a cor poration’s re quired rate of re turn is sig nificantly related
to vari ous li quidity prox ies, such as am ortized spreads (Chalmers and Kad lec (1998)),
turnover rates (Da tar, Naik, and Rad cliffe (1998)), and ad verse se lection costs (Bren nan
and Subrah manyam (1996)). Hold ing eve rything else con stant, highly liq uid firms are associated
with rela tively low costs of capi tal and, there fore, rela tively high firm val ues. In
making the de cision to cross list, man agers must weigh the bene fits of im proved li quidity
and lower cost of capi tal against the costs of list ing fees and ad ditional dis closure. Our results
are also rele vant to the mar ket mi crostructure lit erature by pro viding evi dence on the
effects of in ternational com petition among mar ket mark ers. In an ef fort to main tain or der
flow, do mestic mar ket mak ers are ex pected to nar row their spreads (Stoll (1978)) or in -
crease their depths (No ronha, Sa rin, and Sau dagaran (1996)) when do mestic com panies list
abroad. The find ings re ported herein are con sistent with both be haviors on the part of
SEHK mar ket mak ers.2
The re mainder of the paper is or ganized as fol lows. Sec tion 2 re views the re lated literature
on cross- listing ef fects and pro vides a brief re view of in tra- and inter- day li quid ity
patterns. Sec tion 3 pres ents back ground in formation on the mar ket mak ing sys tem of the
SEHK and de scribes the intra- day spread and depth data. Sec tion 4 dis cusses the method of
analysis and ana lyzes the em pirical re sults, and sec tion 5 concludes the pa per.
2. Pre vious Re search
2.1. Cross- Listing Ef fects
Several rea sons have been pro posed as po tential mo tivations for cor porate man agers to list
their stock on more than one ex change. Mer ton (1987) de velops a theo retical model of capital
mar ket equi librium based on in complete in formation (a vio lation of the stan dard CAPM
set of as sumptions) and shows that in vestors tend to in vest only in com panies with which
they have good fa miliarity. His model sug gests that mana gerial de cisions de signed to increase
the size of the com pany’s in vestor base will lead to a re duction in the cost of capi tal
and an in crease in firm value. Cross list ing is an ex ample of such a de cision since it is expected
to in crease the in vestor base by add ing a for eign in vestor com ponent. In ad dition,
Saudagaran (1988) and Mit too (1992) show that the two ma jor fac tors mo tivating the
cross- listing de cision are (1) greater ac cess to sources of capi tal, and (2) en hanced visi bil -
ity, par ticularly with re spect to mar ket ing.
The em pirical evi dence with re spect to valua tion ef fects caused by cross list ing ha
本论文由英语论文网提供整理,提供论文代写,英语论文代写,代写论文,代写英语论文,代写留学生论文,代写英文论文,留学生论文代写相关核心关键词搜索。