Price discovery in dual-class shares across multiple markets

Autor(es)

Fernandes, Marcelo ^[1] ; Scherrer, Cristina M. ^{[2, 3]}

Afiliação do(s) autor(es)

^[1] FGV, Sao Paulo Sch Econ, Sao Paulo, SP - Brazil

^[2] Aarhus Univ, Dept Econ & Business Econ, Fuglesangs Alle 4 K141c, DK-8210 Aarhus V - Denmark

^[3] Aarhus Univ, CREATES, Fuglesangs Alle 4 K141c, DK-8210 Aarhus V - Denmark

• Tipo de documento: Artigo Científico
• Fonte: JOURNAL OF FUTURES MARKETS; v. 38, n. 1, p. 129-155, JAN 2018.
• Citações Web of Science: 0

Resumo

This paper proposes a new measure of price discovery that uses the spectral decomposition. 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 (AU)

• Processo FAPESP: 13/22930-0 - Descoberta de preços em carteiras de arbitragem de alta dimensão
• Beneficiário: Pedro Luiz Valls Pereira
• Modalidade de apoio: Auxílio à Pesquisa - Temático