Quarterly Publication of Multinational Finance Society • ISSN 1096-1879

Are Real Assets Priced Internationally? Evidence from the Art Market
(Multinational Finance Journal, 1998, vol. 2, no. 3, pp. 167–187)

Kenneth Wieand
University of South Florida, U.S.A.
Jeff Donaldson
Northern Kentucky University, U.S.A.
Socorro Quintero
Oklahoma City University, U.S.A.

This article investigates the relationships between the U.S. and Japanese stock market indices and the prices of modern and impressionist paintings sold at auction in New York by Christies and Sotheby. An art price index is constructed to adjust for heterogeneity of individual paintings. Time series properties of the art price index are examined in relation with the S&P500 and Topix stock market indices. The art-price index is heteroskedastic and autocorrelated. When the log-returns to art are compared to log-price returns to the S&P500 and TOPIX stock indices, a single common long-term stochastic trend in the three indices is found. In the short run, log-changes of art prices are related to current and lagged log-changes of the TOPIX index, only (JEL C22, G12, G15, L15).

Keywords: art prices, cointegration, GARCH model, hedonic price equation, S&P500 stock index, and TOPIX stock index.

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Testing Asset Pricing Models: The Case of Athens Stock Exchange
(Multinational Finance Journal, 1998, vol. 2, no. 3, pp. 189–223)

Antonis Demos
Athens University of Economics and Business, Greece
Sofia Parissi
Athens University of Economics and Business, Greece

This article applies a conditionally heteroskedastic asset pricing model to describe the time variation in the first and second moments of asset returns in an interdependent way in the emerging capital market of Greece. Depending on the observability of the factors and under the chosen parameterization it is possible to derive tests to address economically important questions that the models impose on the risk-return relationship. We apply the derived tests on the nine sectorial portfolios and the value weighted index of the Athens Stock Exchange, over the period 1985-1997. The evidence from the unconditional and conditional CAPM, with the Value Weighted Index as a benchmark portfolio, suggests the inefficiency of the Index. On the other hand, the dynamic latent factor model, considered here, describes sectorial returns in a much better way. However, there is still a shadow of doubt on the hypothesis that the price of risk is common across assets. (JEL G12)

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The Short-Run Performance of IPOs of Privately- and Publicly-Owned Firms: International Evidence
(Multinational Finance Journal, 1998, vol. 2, no. 3, pp. 225–244)

Seung-Doo Choi
Korea Telecom, Korea
Sang-Koo Nam
Korea University, Korea

This article compares the initial returns of privatization initial public offerings (IPOs) to those of privately-owned enterprises and investigates the determinants of short-run performance of privatization IPOs, using a sample of 185 privatization IPOs from 30 countries, over the period from 1981 to 1997. The evidence indicates that there is a general tendency for privatizations to be underpriced to a greater degree than the initial public offerings of privately-owned enterprises. In addition to comparing privatization IPOs to the private IPOs, the cross-sectional determinants of privatization initial returns are analyzed. The empirical results strongly support the theoretical models of Perotti (1995) and Biais and Perotti (1997). The degree of underpricing at the initial public offering is positively related to the stake sold at initial public offerings and to the degree of uncertainty in ex ante value of newly-privatized firms (JEL G32).

keywords: initial public offerings, initial return, policy uncertainty, privatization

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