Market capitalization

About: Market capitalization is a research topic. Over the lifetime, 3583 publications have been published within this topic receiving 77288 citations. The topic is also known as: market cap & market value.

The effect of captive insurer formation on stock returns: An empirical test from the UK

Abstract: This paper examines the stock market impact of captive insurance subsidiary formation on parent companies in the United Kingdom (UK) corporate sector. We report that the formation of an insurance captive has no effect on the financial, systematic and unsystematic risks of the parent company, irrespective of the parent's market capitalisation. In addition, there is weak evidence that the market has a negative view of the captive insurance decision. Finally, our results indicate that financial risk, agency costs of free cash flow, asymmetric information and market power have no effect on the stock market's reaction to the captive formation decision.

Country and Industry Dynamics in Stock Returns

Abstract: A perennial question in international finance is to what extent stock returns are influenced by country-location, as opposed to industry-affiliation, factors. This paper develops a novel methodology to measure these effects, in which portfolios mimicking "pure" country and industry factors are first constructed and their joint dynamics then modeled as regime-switching processes. Estimation using global firm-level data allows us to identify well-defined volatility states over the past thirty years and shows that the contribution of the industry factor becomes systematically more prominent during high global volatility states, while the country factor contribution declines. Using the model's estimates, we find that portfolio diversification possibilities vary considerably across economic states.

The Benefits of International Diversification: Market Development, Corporate Governance, Market Cap, and Structural Change Effects

Abstract: This paper examines the benefits of international diversification for US investors, while accounting for market development, corporate governance, market cap effects, and structural change across countries over period August 1996-July 2013. Improved risk adjusted returns are obtained from a diversified portfolio consisting of a mix of developed and emerging countries. Additionally, we find that diversification benefits are not significant for most of the small-cap foreign assets when an investor already holds position in corresponding countries large-cap assets. Diversification benefits based on the governance effectiveness of a country’s companies are not ubiquitous. We find that economically significant improvements in risk-return performance can be attained by adding large caps of developed countries with high and low overall Governance Metrics International (GMI) ratings and large and small caps of emerging countries with low overall GMI ratings to the investment universe containing the assets of common law developed countries. However, diversification benefits are economically significant only for large and small caps of low GMI emerging countries when short selling is not allowed.

The Impact of Foreign Investors on the Stock Price of Korean Enterprises during the Global Financial Crisis

Abstract: This paper investigates the impact and behavior of foreign equity investment on the price of the nine largest KOSPI (Korea Composite Stock Price Index) enterprises and Samsung Electronics preference stocks in terms of market capitalization during the global financial crisis (2 January 2007 to 30 December 2008). The empirical results indicate that foreign investors show strong, positive feedback trading behavior with regard to the stock price of Samsung Electronics, which is the largest KOSPI enterprise in terms of market capitalization. We also found evidence that the behavior of foreign investors significantly increased volatility in the stock returns of the two largest Korean conglomerates (Samsung Electronics and Hyundai Motors), which account for approximately 25 percent of total KOSPI market capitalization.

Structural changes, market growth and productivity gains of the US real estate investment trusts in the 1990s

Abstract: The 1990s were tumultuous times for the US Real Estate Investment Trusts (REITs) industry. Significant structural changes occurred during the decade, especially after the 1993 Revenue Reconciliation Act, which tremendously boosted the flow of funds into the system by allowing the participation of institutional investors in REITs. As a result, the industry experienced remarkable asset growth during the decade, with a large number of initial public offerings and substantial increases in market capitalization. Employing the Data Envelopment Analysis-type Malmquist index approach, this paper explores the impact of such environmental changes on productivity growth, efficiency change, and technological progress of REITs. Our results indicate that while efficiency of the REITs significantly increased, their average productivity declined and technology regressed during this decade. It appears that the typical REIT has failed to improve technically, but exerted substantial effort to catch up with the best practice ones relying mainly on aggressive growth strategies. However, our empirical results indicate that they might have overextended themselves as most began to suffer from diseconomies of scale.