Journal of Multinational Financial Management最新文献

We examine the effects of FDI characteristics on audit fees and the influence of industry homogeneity on these effects. Taking a sample of Japanese firms, we find that companies investing in a relatively high number of common law countries and developing countries exhibit relatively high audit fees. The more the total geographical distance between the client’s home and host countries, the higher the audit fees. Client industry homogeneity moderates these relationships. Cross-sectional analyses show that the relations are affected by audit scandals, financial and natural disasters, audit firm size, and client subsidiaries. The findings are robust to several sensitivity tests. Overall, we find that auditors charge audit fees based on their clients’ FDI characteristics. Our results help enrich our understanding of the determinants of audit fees, and lead to useful implications for auditors, regulators, and stakeholders.

This article analyses developments in and the determinants of the country-specific dependence of sovereign bond returns on global factors for 41 economies. The dependence is cyclical and substantial: the average for the sample economies and period is around 56 percent. This is consistent with the global financial cycle hypothesis stressing the dominant role played by global factors in the synchronization of asset price changes across economies. The dependence is smaller for emerging economies than for advanced economies. Differences in the dependence across economies and over time are attributable to country fixed effects and time-varying factors. These factors include the size and openness of domestic bond markets, the variability of foreign exchange rates, macro-economic policies, and national indebtedness. One policy implication of the global financial cycle hypothesis is also examined – the dilemma between international capital mobility and monetary policy.

We investigate the effect of major global factors—crude oil, gold, silver, the S&P 500 Index, the United States (US) Dollar Index and US Treasuries—and a psychological barrier on the Saudi Arabian equity market. We consider various firm sizes to account for different potential sensitivities to the global factors. We use the quantile approach, which covers the entire distribution of the dependent variable, unlike previous studies that focus on the conditional mean only. We conduct the frequency domain causality test to disentangle the contagion and interdependence effects. Overall, the quantile analysis results demonstrate that crude oil, the S&P 500 Index and silver positively affect the Saudi equity market, while the appreciation of the US Dollar Index negatively affects the market. US Treasuries asymmetrically influence the Saudi market—they have a positive effect in high market conditions (75th–90th quantiles), but a negative effect in low market conditions (10th–25th quantiles). The psychological barrier affects the Saudi market when the oil price commands or exceeds US$100 per barrel across different firm sizes. Our findings are sensitive to firm size and across quantiles, which offers vital implications for investors, market participants and policymakers.

This study examines the long-run stock performance of US firms conducting cross-border mergers and acquisitions and explores possible synergy sources by investigating three sets of factors: country differences, merger characteristics, and acquirers' operational variables. The results show that US cross-border acquirers underperform in the long run, a situation that does not significantly change according to country differences. Acquisitions of horizontal and private targets outperform those of non-horizontal and public targets, respectively, but underperform their non-acquiring matching firms. By contrast, acquirers with post-merger decreases in costs of goods sold (CGS) outperform their acquiring peers and non-acquiring matching sample. These results suggest that cross-border acquirers need to select targets that can drive down CGS and be cautious of merging non-horizontal and public firms, in order to create synergy gains and avoid value destruction.

This study introduces two novel metrics that calculate the degree of shock asymmetry which can be utilized to examine whether countries in a currency area face symmetric shocks. In an attempt to answer whether the symmetric shock assumption is fulfilled in the European case, the exchange rate transmission mechanism of all 14 countries that have joined the ERM and Sweden is explored. The findings point to the existence of two potential OCAs whereas the first and most stable one would be between Austria, Germany, and the Netherlands, and the extended second OCA would further include Belgium, Denmark, France, and Luxembourg.

A better understanding of financial contagion and systemically important financial markets will help market participants capture market information and assist regulators in preventing financial crises. We propose a ripple network based collective spillover effect approach to model the spread of financial contagion and analyze the systemic importance of financial markets. The crude oil market is taken as the source of financial contagion, and we analyze the path of the spread of contagion and systemic importance of 22 international financial markets. The empirical results show that financial contagion arising from the oil market spreads first to developed markets and then to developing markets. Thus, developed markets show the highest systemic importance, followed by developing markets, in the ripple-spreading process of financial contagion. Moreover, in terms of regions, the European and American markets have higher risk influence, but Asian markets have higher risk pressure.

This study examines whether clientele effects are important in the evaluation of the performance of U.S. international equity closed-end funds (CEF) using the best clientele (BC) performance measure of Chretien and Kammoun (2017), and alternative stochastic discount factor models based on global factor models. The study finds that clientele effects are important when evaluating the performance of international CEFs, as there are significant differences between the BC performance and performance using the global factor models. International CEF provide significant superior performance using the BC measure and neutral performance with the global factor models.

We study the effects of FX liquidity risk on carry trade returns using a novel low-frequency market-wide liquidity measure. We show conclusively that the vast majority of variation in carry trade returns can be explained by two risk factors (liquidity risk and market risk). Our results are further corroborated when the mimicking liquidity risk factor is replaced with a non-tradable innovations risk factor. Safe-haven currencies (SHC) provide insurance against crash risk by having negative liquidity betas, across all time periods. SHCs provide the highest levels of protection during periods of extreme volatility. We find that liquidity risk is priced in the cross-section of carry trade returns, and estimate the liquidity risk premium in the FX market to be around 412 basis points per annum.

Using country-level data on 47 global markets, this paper examines the stabilizing effects of pension funds vs. mutual funds on country-specific market risk. We find that mutual funds have a significantly negative effect on idiosyncratic volatility in developed markets, but this role becomes insignificant in emerging markets. In contrast, pension funds significantly reduce country-specific market risk in both developed and emerging markets, with a much stronger stabilizing effect. The prudence of pension funds subsumes the macrofactor effects on market risk and drives away the effects of mutual funds in emerging markets. Our results suggest that the steady growth of pension funds can be a viable strategy to improve a country’s financial health, especially for emerging markets.

Using a unique Swedish database that records the ultimate stockholdings in public firms, we decompose stock ownership by domiciles using votes rather than cashflows. We then study the impact of variables related to the lifecycle theory of dividends and the catering theory of dividends. We also examine the propensity of firms to pay dividends and/or activate a stock buyback program. Univariate analysis reveals a positive association between a firm’s maturity and its likelihood to pay dividends. Logistic regression finds a positive relation between payouts and retained earnings to total assets. Foreign institutional investors are less likely to hold dividend-paying stocks than domestic institutional investors. The analysis finds no support for the catering theory of dividends. After controlling for stock ownership, our evidence is consistent with the lifecycle theory of dividends, which states that more mature firms are associated with dividends. It also supports the transaction cost hypothesis claiming that foreign investors face additional administrative costs when holding dividend-paying stocks.