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Volume 2, Number 1 / March 1998 , Pages 1-83
Multinational Finance Journal, 1998, vol. 2, no. 1, pp. 1-37 |
Richard Chung , Concordia University, Canada    Corresponding Author
Lawrence Kryzanowski , Concordia University, Canada

This article examines the stock market effects of changes in the composition of the TSE300 index over the period 1990-94. The test methodology adjusts for thin trading, pre- and post-revision abnormal performance and sample selection criterion effects. The models used to characterize returns include factors such as illiquidity and large trade activity. The positive and transitory median changes in traded volumes become insignificant when market-adjusted volumes are examined. No permanent effects on trade and analyst price behavior are identified. Traditional market-adjusted abnormal return inferences are not robust. The announcement window abnormal returns are smaller for annual versus non-annual index additions. This suggests that a longer advance notice period more than compensates for a larger number of simultaneous index revisions. The findings support the price pressure and liquidity hypotheses. Temporary changes in liquidity costs temporarily move stock prices from their equilibrium values, and announcement window abnormal returns are essentially reversed in subsequent periods.

Keywords : index revision; abnormal returns; liquidity; event study
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Multinational Finance Journal, 1998, vol. 2, no. 1, pp. 38-63 |
Jang-Ting Guo , University of California–Riverside, U.S.A.    Corresponding Author
Rong-Chang Wu , Shin Chien University, Taiwan

This article adopts a nonparametric approach to examine the exchange-rate exposure of Taiwanese firms between December 1979 and January 1995. The evidence indicates that financial liberalization that took place in July 1987 has introduced an important structural break to firms' foreign exchange exposure. In the pre-liberalization period, no industry shows significant exposure to changes in the exchange rate. By contrast, in the post-liberalization period, exchange-rate movements exert significant contemporaneous and lagged impacts on the value of firms, particularly those with high involvement in international trade

Keywords : financial liberalization; foreign exchange exposure effect; nonparametric econometrics
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Multinational Finance Journal, 1998, vol. 2, no. 1, pp. 64-86 |
Jay Dahya , University of Wales College of Cardiff, U.K.    Corresponding Author
Ronan Powell , Queen's University of Belfast, Northern Ireland

This article investigates the impact that successful hostile and friendly takeovers have on the rates of top management change for U.K. target firms. The results shows that hostile takeovers are associated with a greater degree of both top executive and top team forced departure rates compared to that of friendly takeovers. Furthermore, prior to takeover, hostile targets have lower abnormal returns, lower profitability, higher debt, lower managerial ownership and a high ownership stake held by external block holders relative to friendly targets. The results give further support to the disciplining role of the hostile takeover

Keywords : managerial control; hostile takeover; top management turnover; friendly takeover; ownership structure
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