Investor protection, equity returns, and financial globalization

Journal of Financial and Quantitative Analysis

Volumn 45, Issue 1, 2010, Pages 135-168

  Giannetti, Mariassunta ^a   Koskinen, Yrj ^b  

^a STOCKHOLM SCHOOL OF ECONOMICS   (Sweden)

^b BOSTON UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 77953569381     PISSN: 00221090     EISSN: 17566916     Source Type: Journal    
DOI: 10.1017/S0022109009990524     Document Type: Article

References (68)

1. Acemoglu, D.; S. Johnson; and J. A. Robinson. "The Colonial Origins of Comparative Development: An Empirical Investigation." American Economic Review, 91 (2001), 1369-1401.
2. Aganin, A., and P. Volpin. "The History of Corporate Ownership in Italy." In The History of Corporate Ownership, R. Morck, ed. Chicago, IL: University of Chicago Press (2005).
3. Aggarwal, R.; L. Klapper; and P. D. Wysocki. "Portfolio Preferences of Foreign Institutional Investors." Journal of Banking and Finance, 29 (2005), 2919-2946.
4. Ahearne, A. G.; W. L. Griever; and F. E. Warnock. "Information Costs and Home Bias: An Analysis of U.S. Holdings of Foreign Equities." Journal of International Economics, 62 (2004), 313-336.
5. Albuquerque, R., and N.Wang. "Agency Conflicts, Investment, and Asset Prices." Journal of Finance, 63 (2008), 1-40.
6. Betton, S., and B. E. Eckbo. "Toeholds, Bid Jumps, and Expected Payoffs in Takeovers." Review of Financial Studies, 13 (2000), 841-882.
7. Bhattacharya, U.; N. Galpin; and B. Haslem. "The Home Court Advantage in International Corporate Litigation." Journal of Law and Economics, 50 (2007), 625-659.
8. Black, F. "International Capital Market Equilibrium with Investment Barriers." Journal of Financial Economics, 1 (1974), 337-352.
9. Brav, A.; G. M. Constantinides; and C. C. Geczy. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence." Journal of Political Economy, 110 (2002), 793-824.
10. Brennan, M. J., and H. H. Cao. "International Portfolio Investment Flows." Journal of Finance, 52 (1997), 1851-1880.
11. Chan, K.; V. Covrig; and L. Ng. "What Determines the Domestic Bias and Foreign Bias? Evidence from Equity Mutual Fund Allocations Worldwide." Journal of Finance, 60 (2005), 1495-1534.
12. Core, J. E.; W. R. Guay; and T. O. Rusticus. "Does Weak Corporate Governance Cause Weak Stock Performance? An Examination of Operating Performance and Investors' Expectations." Journal of Finance, 61 (2006), 655-687.
13. Cremers, K. J. M., and V. B. Nair. "Governance Mechanisms and Equity Prices." Journal of Finance, 60 (2005), 2859-2894.
14. Cremers, K. J. M.; V. B. Nair; and K. John. "Takeovers and the Cross-Section of Returns." Review of Financial Studies, 22 (2009), 1409-1445.
15. Dahlquist, M.; L. Pinkowitz; R. M. Stulz; and R. Williamson. "Corporate Governance and the Home Bias." Journal of Financial and Quantitative Analysis, 38 (2003), 87-110.
16. Daouk, H.; C. M. C. Lee; and D. Ng. "Capital Market Governance: How Do Security Laws Affect Market Performance?" Journal of Corporate Finance, 12 (2006), 560-593.
17. Deininger, K., and L. Squire. "A New Data Set Measuring Income Inequality." World Bank Economic Review, 10 (1996), 565-591.
18. Demirguc-Kunt, A., and R. Levine. Financial Structure and Economic Growth: A Cross-Country Comparison of Banks, Markets, and Development. Cambridge, MA: MIT Press (2001).
19. Desai, M. A., and A. Moel. "Czech Mate: Expropriation and Investor Protection in a Converging World." Review of Finance, 12 (2008), 221-251.
20. Djankov, S.; R. La Porta; F. Lopez-De-Silanes; and A. Shleifer. "The Law and Economics of Self-Dealing." Journal of Financial Economics, 88 (2008), 430-465.
21. Dyck, A., and L. Zingales. "Private Benefits of Control: An International Comparison." Journal of Finance, 59 (2004), 537-600.
22. Fama, E. F., and K. R. French. "Disagreement, Tastes, and Asset Prices." Journal of Financial Economics, 83 (2007), 667-689.
23. French, K. R., and J. M. Poterba. "Investor Diversification and International Equity Markets." American Economic Review, 81 (1991), 222-226.
24. Gande, A., and D. C. Parsley. "News Spillovers in the Sovereign Debt Market." Journal of Financial Economics, 75 (2005), 691-734.
25. Giannetti, M., and A. Simonov. "Which Investors Fear Expropriation? Evidence from Investors' Portfolio Choices." Journal of Finance, 61 (2006), 1507-1547.
26. Gompers, P.; J. Ishii; and A. Metrick. "Corporate Governance and Equity Prices." Quarterly Journal of Economics, 118 (2003), 107-155.
27. Gompers, P. A., and A. Metrick. "Institutional Investors and Equity Prices." Quarterly Journal of Economics, 116 (2001), 229-259. (Pubitemid 33593855)
28. Grinblatt, M., and M. Keloharju. "The Investment Behavior and Performance of Various Investor Types: A Study of Finland's Unique Data Set." Journal of Financial Economics, 55 (2000), 43-67.
29. Guiso, L.; M. Haliassos; and T. Jappelli. Household Portfolios. Cambridge, MA: MIT Press (2001).
30. Guiso, L.; M. Haliassos; and T. Jappelli. "Household Stockholding in Europe: Where Do We Stand and Where Do We Go?" Economic Policy, 18 (2003), 123-170.
31. Hail, L., and C. Leuz. "International Differences in the Cost of Equity Capital: Do Legal Institutions and Securities Regulation Matter?" Journal of Accounting Research, 44 (2006), 485-531.
32. Huber, P. J. "Robust Estimation of a Location Parameter." Annals of Mathematical Statistics, 35 (1964), 73-101.
33. Kelley, E., and T.Woidtke. "Investor Protection and Real Investment by U.S. Multinationals." Journal of Financial and Quantitative Analysis, 41 (2006), 541-572.
34. Kerstetter, S. "Rags and Riches: Wealth Inequality in Canada." Report, Canadian Centre for Policy Alternatives (2002).
35. Kho, B.-C.; R. M. Stulz; and F. E. Warnock. "Financial Globalization, Governance, and the Evolution of the Home Bias." Journal of Accounting Research, 47 (2009), 597-635.
36. Khorana, A.; H. Servaes; and P. Tufano. "Explaining the Size of the Mutual Fund Industry Around the World." Journal of Financial Economics, 78 (2005), 145-185.
37. Kim, W.; T. Sung; and S.-J. Wei. "How Does Corporate Governance Risk at Home Affect Investment Choices Abroad?" NBER Working Paper No.13721 (2008).
38. La Porta, R.; F. Lopez-De-Silanes; and A. Shleifer. "Corporate Ownership Around theWorld." Journal of Finance, 54 (1999), 471-517.
39. La Porta, R.; F. Lopez-De-Silanes; and A. Shleifer. "What Works in Securities Laws?" Journal of Finance, 61 (2006), 1-32.
40. La Porta, R.; F. Lopez-De-Silanes; A. Shleifer; and R. W. Vishny. "Legal Determinants of External Finance." Journal of Finance, 52 (1997), 1131-1150.
41. La Porta, R.; F. Lopez-De-Silanes; A. Shleifer; and R. W. Vishny. "Law and Finance." Journal of Political Economy, 106 (1998), 1113-1155.
42. La Porta, R.; F. Lopez-De-Silanes; A. Shleifer; and R. W. Vishny. "Investor Protection and Corporate Valuation." Journal of Finance, 57 (2002), 1147-1170.
43. Leuz, C.; K. V. Lins; and F. E. Warnock. "Do Foreigners Invest Less in Poorly Governed Firms?" Review of Financial Studies, 22 (2009), 3245-3285.
44. Lewis, K. K. "Trying to Explain Home Bias in Equities and Consumption." Journal of Economic Literature, 37 (1999), 571-608.
45. Li, K.; H. Ortiz-Molina; and X. Zhao. "Do Voting Rights Affect Institutional Investment Decisions? Evidence from Dual-Class Firms." Financial Management, 37 (2008), 713-745.
46. Lins, K. V. "Equity Ownership and Firm Value in Emerging Markets." Journal of Financial and Quantitative Analysis, 38 (2003), 159-184.
47. Lombardo, D., and M. Pagano. "Legal Determinants of the Return on Equity." In Corporate and Institutional Transparency for Economic Growth in Europe, L. Oxelheim, ed. Oxford, UK: Elsevier (2006).
48. Mankiw, N. G., and S. P. Zeldes. "The Consumption of Stockholders and Nonstockholders." Journal of Financial Economics, 29 (1991), 97-112.
49. Mas-Colell, A.; M. D. Whinston; and J. R. Green. Microeconomic Theory. New York, NY: Oxford University Press (1995).
50. McConnell, J. J., and H. Servaes. "Additional Evidence on Equity Ownership and Corporate Value." Journal of Financial Economics, 27 (1990), 595-612.
51. McKinsey & Company. "Global Investor Opinion Survey on Corporate Governance." Survey (2002).
52. Morck, R.; M. Percy; G. Tian; and B. Yeung. "The Rise and Fall of theWidely Held Firm in Canada." In The History of Corporate Ownership, R. Morck, ed. Chicago, IL: University of Chicago Press (2004).
53. Morck, R.; A. Shleifer; and R. W. Vishny. "Management Ownership and Market Valuation: An Empirical Analysis." Journal of Financial Economics, 20 (1988), 293-315.
54. Moulton, B. R. "An Illustration of a Pitfall in Estimating the Effects of Aggregate Variables on Micro Units." Review of Economics and Statistics, 72 (1990), 334-338.
55. Perotti, E. C., and E.-L. von Thadden. "The Political Economy of Corporate Control and Labor Rents." Journal of Political Economy, 114 (2006), 145-174.
56. Rajan, R. G., and L. Zingales. "The Great Reversals: The Politics of Financial Development in the Twentieth Century." Journal of Financial Economics, 69 (2003), 5-50.
57. Rossi, S., and P. F. Volpin. "Cross-Country Determinants of Mergers and Acquisitions." Journal of Financial Economics, 74 (2004), 277-304.
58. Shleifer, A. "Do Demand Curves for Stocks Slope Down?" Journal of Finance, 41 (1986), 579-590.
59. Shleifer, A., and D. Wolfenzon. "Investor Protection and Equity Markets." Journal of Financial Economics, 66 (2002), 3-27.
60. Spamann, H. "The 'Antidirector Rights Index' Revisited." Review of Financial Studies, 23 (2010), 467-486.
61. Stulz, R. M. "On the Effects of Barriers to International Investment." Journal of Finance, 36 (1981), 923-934.
62. Stulz, R. M. "The Limits of Financial Globalization." Journal of Finance, 60 (2005), 1595-1638.
63. Summers, L. H. "On Economics and Finance." Journal of Finance, 40 (1985), 633-635.
64. Vissing-Jorgensen, A. "Limited Asset Market Participation and the Elasticity of Intertemporal Substitution." Journal of Political Economy, 110 (2002), 825-853.
65. Wurgler, J., and E. Zhuravskaya. "Does Arbitrage Flatten Demand Curves for Stocks." Journal of Business, 75 (2002), 583-608.
66. Yermack, D. "Flights of Fancy: Corporate Jets, CEO Perquisites and Inferior Shareholder Returns." Journal of Financial Economics, 80 (2006), 211-242.
67. Zamagni, V. Dalla Periferia al Centro. La Seconda Rinascita Economica dell'Italia, 1861-1981. Bologna, Italy: Il Mulino (1990).
68. Zingales, L. "What Determines the Value of Corporate Votes?" Quarterly Journal of Economics, 110 (1995), 1047-1073.