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Foreign ownership restrictions and stock prices in the Thai capital market
16 references·16 citing·36 second hopsampled
Foreign ownership restrictions and stock prices in the Thai capital market (1994)Foreign ownership restrictions and stock …Predictable Risk and Returns in Emerging Markets (1994)Predictable Risk and Returns …The Risk and Predictability of International Equity Returns (1993)The Risk and Predictability o…On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…The Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Investor Sentiment and the Closed-End Fund Puzzle (1991)Investor Sentiment and the Cl…Investor Diversification and International Equity Markets (1991)Investor Diversification and …A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures (1986)Price and Volume Effects Asso…Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Do Demand Curves for Stocks Slope Down? (1986)Do Demand Curves for Stocks S…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…International Asset Pricing under Mild Segmentation: Theory and Test (1985)International Asset Pricing u…International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Portfolio Choic…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The only game in town: Stock-price consequences of local bias☆ (2008)The only game in town: Stock-…Stock market liberalization and the information environment (2006)Stock market liberalization a…Macromomentum: Returns Predictability in International Equity Indices* (2006)Macromomentum: Returns Predic…Do domestic and foreign fund managers have similar preferences for stock characteristics? A cross-country analysis (2006)Do domestic and foreign fund …Location of trade, ownership restrictions, and market illiquidity: Examining Chinese A- and H-shares (2003)Location of trade, ownership …Puzzles in the Chinese Stock Market (2002)Puzzles in the Chinese Stock …Measuring financial and economic integration with equity prices in emerging markets (2002)Measuring financial and econo…FOREIGN OWNERSHIP RESTRICTIONS AND MARKET SEGMENTATION IN CHINA'S STOCK MARKETS (2001)FOREIGN OWNERSHIP RESTRICTION…The effect of market segmentation on stock prices: The China syndrome (2000)The effect of market segmenta…Foreign Ownership Restrictions and Equity Price Premiums: What Drives the Demand for Cross-Border Investments? (1999)Foreign Ownership Restriction…Information asymmetry, market segmentation and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares (1998)Information asymmetry, market…A Note on Political Risk and the Required Return on Foreign Direct Investment (1998)A Note on Political Risk and …Mean and Volatility Spillover Effects in the U.S. and Pacific–Basin Stock Markets (1997)Mean and Volatility Spillover…Capital controls, market segmentation and stock prices: Evidence from the Chinese stock market (1996)Capital controls, market segm…The Risk Exposure of Emerging Equity Markets (1995)The Risk Exposure of Emerging…Risk and return on China's new stock markets: Some preliminary evidence (1994)Risk and return on China's ne…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)Expected Stock Returns and Variance Risk Premia (2009)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)Illiquidity and stock returns: cross-section and time-series effects (2002)The Cross‐Section of Volatility and Expected Returns (2006)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Asymmetric correlations of equity portfolios (2002)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The market for corporate control (1983)Noise (1986)The determinants of cross-border equity flows (2004)An Engine, Not a Camera (2006)The cost of capital, corporation finance and the theory of investment (2008)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)On Persistence in Mutual Fund Performance (1997)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Familiarity Breeds Investment (2001)International Asset Allocation With Regime Shifts (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1991Investor Diversification and International Equity Markets2,542 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 1986Do Demand Curves for Stocks Slope Down?1,524 cited
  • 1991Investor Sentiment and the Closed-End Fund Puzzle1,508 cited
  • 1983International Portfolio Choice and Corporation Finance: A Synthesis1,447 cited
  • 1993The Risk and Predictability of International Equity Returns1,065 cited
  • 1994Predictable Risk and Returns in Emerging Markets1,042 cited
  • 1986Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures1,023 cited
  • 1985

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International Asset Pricing under Mild Segmentation: Theory and Test
1,021 cited

Cited by

  • 2008The only game in town: Stock-price consequences of local bias☆261 cited
  • 2002Puzzles in the Chinese Stock Market240 cited
  • 1998Information asymmetry, market segmentation and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares230 cited
  • 2006Stock market liberalization and the information environment228 cited
  • 1994Risk and return on China's new stock markets: Some preliminary evidence225 cited
  • 2000The effect of market segmentation on stock prices: The China syndrome218 cited
  • 1995The Risk Exposure of Emerging Equity Markets214 cited
  • 1997Mean and Volatility Spillover Effects in the U.S. and Pacific–Basin Stock Markets205 cited
  • 1999Foreign Ownership Restrictions and Equity Price Premiums: What Drives the Demand for Cross-Border Investments?204 cited
  • 2001FOREIGN OWNERSHIP RESTRICTIONS AND MARKET SEGMENTATION IN CHINA'S STOCK MARKETS201 cited
  • 2002Measuring financial and economic integration with equity prices in emerging markets196 cited
  • 2006Macromomentum: Returns Predictability in International Equity Indices*190 cited
  • 1998A Note on Political Risk and the Required Return on Foreign Direct Investment184 cited
  • 2003Location of trade, ownership restrictions, and market illiquidity: Examining Chinese A- and H-shares179 cited
  • 1996Capital controls, market segmentation and stock prices: Evidence from the Chinese stock market177 cited
  • 2006Do domestic and foreign fund managers have similar preferences for stock characteristics? A cross-country analysis173 cited