Market and Regional Segmentation and Risk Premia in the First Era of Financial Globalization

• 成果类型: Article
• 署名作者: Chambers, David; Sarkissian, Sergei; Schill, Michael J.
• 署名单位: University of Cambridge; McGill University; Yerevan State University; University of Virginia
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx143
• 发表日期: 2018
• 页码: 4063
• 关键词: INVESTOR RECOGNITION; private benefits; FOREIGN-CURRENCY; cross-listings; UNITED-STATES; debt; OWNERSHIP; maturity; prices; stocks

摘要

We study market segmentation effects using data on U.S. railroads that list their bonds in New York and London between 1873 and 1913. This sample provides a unique setting for such analysis because of the precision offered by bond yields in cost of capital estimation, the geography-specific nature of railroad assets, and ongoing substantial technological change. We document a significant reduction in market segmentation over time. While New York bond yields exceeded those in London in the 1870s, this premium disappeared by the early 1900s. However, the segmentation premium persisted in the more remote regions of the United States.