Market segmentation and stock prices: Evidence from an emerging market

• 成果类型: Article; Proceedings Paper
• 署名作者: Domowitz, I; Glen, J; Madhavan, A
• 署名单位: University of Southern California
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329516
• 发表日期: 1997
• 页码: 1059-1085
• 关键词: capital-market; integration; restrictions; OWNERSHIP; returns; RISK

摘要

We examine the relationship between stock prices and market segmentation induced by ownership restrictions in Mexico. The focus is on multiple classes of equity that differentiate between foreign and domestic traders, and between domestic individuals and institutions. Significant stock price premia are documented for shares not restricted to a particular investor group. We analyze the theoretical and empirical determinants of premia across firms and over time. In addition to economy-wide factors, segmentation reflects the relative scarcity of unrestricted shares. The results provide additional support for Stulz and Wasserfallen's (1995) hypothesis that firms discriminate between investor groups with different demand elasticities.