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Volume 16, Numbers 1 & 2 / March/June 2012 , Pages 1-154
Multinational Finance Journal, 2012, vol. 16, no. 1/2, pp. 1-20
Selçuk Caner , International Monetary Fund, Washington D.C., USA
Mehmet Baha Karan , Hacettepe University, Ankara, Turkey    Corresponding Author

Abstract:
In this paper we estimate creditworthiness of small and medium-sized enterprises (SMEs) that receive financial and non-financial incentives from the small business development administration (KOSGEB) in Turkey. Assessing creditworthiness of SMEs to qualify for government support remains a concern since standard methods based on financial information on firms would be inadequate due to lack of transparent financial information. Such businesses apply for government support because they would not qualify for funding from financial institutions. To assess the creditworthiness of these businesses other firm-level data is essential. A logit model is used to estimate riskiness of SMEs including non-financial data obtained from the business survey obtained by KOSGEB. We find that efficient and internationally competitive SMEs are unlikely to default. Firms with high creditworthiness are also managed by owners and focus on their core businesses.

Keywords : Risk; creditworthiness; credit risk; default; SME; logit
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Multinational Finance Journal, 2012, vol. 16, no. 1/2, pp. 21-47
Jie (Michael) Guo , Durham University, U.K.    Corresponding Author
Dimitris Petmezas , University of Surrey, U.K.

Abstract:
This paper examines the link between the causes and effects of mergers and acquisitions. By using a sample of UK acquisitions, which have the distinct characteristics of limited use of stock as means of payment and dominance of private acquisitions, the evidence shows that, on average, there is a substantial price run-up for acquirers prior to an acquisition announcement followed by a significant drop of bidder’s price in the post-event period. This indicates, to an extent, that corporate acquisitions are the effect of good performance rather than the cause. However, the results also reflect that a relatively better acquisition strategy for a firm to create value is by making many small acquisitions rather than a small number of large acquisitions, implying that acquisitions also drive performance. Overall, the evidence found is mixed and suggests that in the UK market, acquisition returns cannot be solely based on the market driven explanation.

Keywords : mergers & acquisitions; price run-up; method of payment; frequent bidders; long-term wealth effects
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Multinational Finance Journal, 2012, vol. 16, no. 1/2, pp. 49-86
Olga Dodd , Auckland University of Technology, New Zealand    Corresponding Author
Christodoulos Louca , Cyprus University of Technology, Cyprus

Abstract:
This study evaluates the relationship between international cross-listings and shareholders’ wealth across different host markets and across time. For a sample of cross-listings by European companies in the US, in the UK, and within Europe, the findings show that US and UK cross-listings, on average, result in positive cumulative abnormal returns around the announcement of cross-listing. No such evidence exists for the rest of European cross-listings. In addition, the Sarbanes-Oxley Act (SOX) of 2002 affects negatively the wealth benefits of US cross-listings, while wealth creation around UK cross-listings is primarily concentrated in Alternative Investment Market listings rather than Main Market listings. There is no evidence that the introduction of the Euro affects the wealth effects of cross-listings within the Eurozone. Finally, this study provides evidence on the relative importance of alternative theories on the wealth effects of cross-listing, including market segmentation, legal bonding, liquidity, investor recognition, proximity preference, market timing and business strategy theories, after considering the effect of the introduction of the Euro and the adoption of SOX. The results show that significance of the alternative theories varies across host markets and over time.

Keywords : Cross-listing; shareholders? wealth; Euro; AIM; the Sarbanes-Oxley Act
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Multinational Finance Journal, 2012, vol. 16, no. 1/2, pp. 87-103
Briance Mascarenhas , Rutgers University, USA    Corresponding Author

Abstract:
Many firms facing global competition are seeking to become specialists. This study examines international specialists, defined as companies that produce, sell, and expand internationally within one industry. This study examines their capital sourcng and deployment. Analysis of a knowledge-intensive industry, pharmaceuticals, suggests that firms which pursue this focused strategy match their funding and deployment of financial resources. They use equity funding and invest it heavily in research in order to develop international proprietary niches.

Keywords : strategy; focus; niche; international; diversification; finance
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Multinational Finance Journal, 2012, vol. 16, no. 1/2, pp. 105-136
Guglielmo Maria Caporale , Brunel University, UK    Corresponding Author
Luis Gil-Alana , University of Navarra, Spain

Abstract:
This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. In the paper both absolute values of returns and squared returns are modelled using long-memory techniques, being particularly interested in volatility modelling and forecasting. Compared with previous studies using fractional integration such as Granger and Ding (1996), a more general model is estimated, which allows for dependence not only at the zero but also at other frequencies. The results show differences in the behaviour of the two series: a long-memory cyclical model and a standard I(1) model seem to be the most appropriate for the US dollar rate vis-à-vis the Euro and the Japanese Yen respectively.

Keywords : Fractional integration; Long memory; Exchange rates, Volatility
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Multinational Finance Journal, 2012, vol. 16, no. 1/2, pp. 137-154
Rossitsa Yalamova , University of Lethbridge, Canada    Corresponding Author

Abstract:
This paper proposes the generalized use of fractional Brownian motion in a multifractal trading time framework to reveal variation in the index price diffusion process that appears before and after 'extreme' events of distinct origin. "Crashes" following internal self-organization and those caused by external shocks differ in the relaxation process. The goal of this paper is to test for differences in the price diffusion process related to the organization of trading.

Keywords : trading mechanics; multifractal spectrum; extreme events
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