Department of Economics and Business Economics

Price discovery in dual-class shares across multiple markets

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Price discovery in dual-class shares across multiple markets. / Fernandes, Marcelo; Scherrer, Cristina.

In: The Journal of Futures Markets, Vol. 38, No. 1, 01.01.2018, p. 129-155.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Harvard

Fernandes, M & Scherrer, C 2018, 'Price discovery in dual-class shares across multiple markets', The Journal of Futures Markets, vol. 38, no. 1, pp. 129-155. https://doi.org/10.1002/fut.21889

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MLA

Vancouver

Fernandes M, Scherrer C. Price discovery in dual-class shares across multiple markets. The Journal of Futures Markets. 2018 Jan 1;38(1):129-155. https://doi.org/10.1002/fut.21889

Author

Fernandes, Marcelo ; Scherrer, Cristina. / Price discovery in dual-class shares across multiple markets. In: The Journal of Futures Markets. 2018 ; Vol. 38, No. 1. pp. 129-155.

Bibtex

@article{038ea09c936842899b433db133020af7,
title = "Price discovery in dual-class shares across multiple markets",
abstract = "This paper proposes a new measure of price discovery that uses the spectraldecomposition. The methodology is especially important in the context of large price systems, such as interest rate parities with spot and futures contracts or dual-class shares in multiple markets. We employ high frequency data to study price discovery in dual-class Brazilian stocks and their ADRs. We find that the foreign market is at least as informative as the home market and that shocks in the dual-class premium entail a permanent effect in normal times, but transitory in periods of financial distress",
keywords = "SECURITY, common share, information share, preferred share, spectral decomposition",
author = "Marcelo Fernandes and Cristina Scherrer",
year = "2018",
month = jan,
day = "1",
doi = "10.1002/fut.21889",
language = "English",
volume = "38",
pages = "129--155",
journal = "The Journal of Futures Markets",
issn = "0270-7314",
publisher = "Wiley",
number = "1",

}

RIS

TY - JOUR

T1 - Price discovery in dual-class shares across multiple markets

AU - Fernandes, Marcelo

AU - Scherrer, Cristina

PY - 2018/1/1

Y1 - 2018/1/1

N2 - This paper proposes a new measure of price discovery that uses the spectraldecomposition. The methodology is especially important in the context of large price systems, such as interest rate parities with spot and futures contracts or dual-class shares in multiple markets. We employ high frequency data to study price discovery in dual-class Brazilian stocks and their ADRs. We find that the foreign market is at least as informative as the home market and that shocks in the dual-class premium entail a permanent effect in normal times, but transitory in periods of financial distress

AB - This paper proposes a new measure of price discovery that uses the spectraldecomposition. The methodology is especially important in the context of large price systems, such as interest rate parities with spot and futures contracts or dual-class shares in multiple markets. We employ high frequency data to study price discovery in dual-class Brazilian stocks and their ADRs. We find that the foreign market is at least as informative as the home market and that shocks in the dual-class premium entail a permanent effect in normal times, but transitory in periods of financial distress

KW - SECURITY

KW - common share

KW - information share

KW - preferred share

KW - spectral decomposition

UR - http://www.scopus.com/inward/record.url?scp=85035203236&partnerID=8YFLogxK

U2 - 10.1002/fut.21889

DO - 10.1002/fut.21889

M3 - Journal article

VL - 38

SP - 129

EP - 155

JO - The Journal of Futures Markets

JF - The Journal of Futures Markets

SN - 0270-7314

IS - 1

ER -