nep-cfn New Economics Papers
on Corporate Finance
Issue of 2011‒07‒02
four papers chosen by
Zelia Serrasqueiro
University of the Beira Interior

  1. The Impact of Dark and Visible Fragmentation on Market Quality (Replaces CentER Discussion Paper 2011-051) By Degryse, H.A.; Jong, F.C.J.M. de; Kervel, V.L. van
  2. Causes of Asset Shortages in Emerging Markets By Patrick A. Imam; Jiaqian Chen
  3. Corporate Leverage, the Cost of Capital,and the Financial Crisis in Latin America By Ricardo Bebczuk; Arturo Galindo
  4. White-collar crime and stock return: Empirical study from announcement effect By Puah, Chin-Hong; Liew, Samuel Wei-Siew

  1. By: Degryse, H.A.; Jong, F.C.J.M. de; Kervel, V.L. van (Tilburg University, Center for Economic Research)
    Abstract: Two important characteristics of current European equity markets are rooted in changes in financial regulation (the Markets in Financial Instruments Directive). The regulation (i) allows new trading venues to emerge, generating a fragmented market place and (ii) allows for a substantial fraction of trading to take place in the dark, outside publicly displayed order books. This paper evaluates the impact on liquidity of fragmentation in visible order books and dark trading for a sample of 52 Dutch stocks. We consider global liquidity by consolidating the entire limit order books of all visible European trading venues, and local liquidity by considering the traditional market only. We find that fragmentation in visible order books improves global liquidity, but dark trading has a detrimental effect. In addition, local liquidity is lowered by fragmentation in visible order books.
    Keywords: Market microstructure;Market fragmentation;Liquidity;MiFID
    JEL: G10 G14 G15
    Date: 2011
  2. By: Patrick A. Imam; Jiaqian Chen
    Abstract: We first illustrate that emerging markets (EMs) face a shortage of financial assets, with financial assets not growing as rapidly as domestic savings. We then estimate the asset shortage in EMs for 1995-2008. We develop a model that explains how asset shortage develop, and then econometrically estimate the causes of asset shortages. We conclude with policy implications.
    Keywords: Capital markets , Corporate sector , Demand , Economic models , Emerging markets , Financial assets , Investment , Savings , Securities regulations , Supply ,
    Date: 2011–05–16
  3. By: Ricardo Bebczuk; Arturo Galindo
    Abstract: Using a quarterly dataset of 185 listed firms in six Latin American countries between 1993 and 2009 we find that leverage is positively related to tangibility, firm size and the market to book ratio, and negatively related to profitability. The average cost of debt is negatively related with size, tangibility, firm growth, the leverage ratio, and the ratio of long- to short-term debt and positively to profitability. We find that the recent international crisis did not have a significant impact on the set of firms in our sample, but affected the way in which leverage and the interest to debt ratio relate to firm fundamentals. In particular we find that the links between leverage, tangibility and profitability were strengthened, and that financial constraints were not increased during the crisis.The evidence is consistent with a flight-to-quality phenomenon in favor of big, listed firms.
    Keywords: Corporate leverage, cost of debt, financial crisis, Latin America.
    JEL: F3 G3 O54
    Date: 2011–05
  4. By: Puah, Chin-Hong; Liew, Samuel Wei-Siew
    Abstract: White-collar crime continues to hit the headlines across Malaysia and it remains a serious issue influencing organizations globally. A share price event study is thus conducted on a group of public listed companies in Malaysia to examine the announcement effect of white-collar crime. The period of the study is from 1996 to 2010, covering both the Asian Financial Crisis in 1997/98 and the sub-prime mortgage crisis in 2008/09. Results indicate the existence of significant negative abnormal share price reaction on 10 trading days subsequent to the day of announcement. It means that the stock market in Malaysia is not efficient. However, it implies that the market possesses the power to discipline unethical companies as the shareholders drive down their value by disposing their stocks following the announcement.
    Keywords: Share Price; Event Study; White-Collar Crime
    JEL: G14 G12 K42
    Date: 2011–06

This nep-cfn issue is ©2011 by Zelia Serrasqueiro. It is provided as is without any express or implied warranty. It may be freely redistributed in whole or in part for any purpose. If distributed in part, please include this notice.
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