This study examines changes in domestic liquidity after cross-listing in the United States. Our liquidity measures are based on intraday data from domestic markets for a large sample of firms that cross-list in the United States and for a matched sample of firms that do not cross-list. We find that unadjusted liquidity significantly improves after cross-listing. However, after controlling for contemporaneous changes in liquidity for a matched sample of firms that do not cross-list, there is no evidence of improvements in domestic liquidity due to cross-listing. Our results offer no support for the bonding hypothesis, or for the hypothesis that cross-listing improves domestic liquidity because of increased intermarket competition and additional order flow.

We use two extremely liquid S&P 500 ETFs to analyze the prevailing trading conditions when mispricing allowing arbitrage opportunities is created. While these ETFs are not perfect substitutes, our correlation and error correction results suggest investors view them as close substitutes. Spreads increase just before arbitrage opportunities, consistent with a decrease in liquidity. Order imbalance increases as markets become more one-sided and spread changes become more volatile which suggests an increase in liquidity risk. The price deviations are followed by a tendency to quickly correct back towards parity.

We examine liquidity commonality in commodity futures markets. Using data from 16 agricultural, energy, industrial metal, precious metal, and livestock commodities, we show there is a strong systematic liquidity factor in commodities. Liquidity commonality was present in 1997–2003 when commodity prices were relatively stable and during the recent boom. There is some support for both “supply-side” and “demand-side” explanations for this commonality. We find no evidence of a consistent link between stock and commodity liquidity in general. Energy commodities appear to provide a better hedge against equity market liquidity risk than the other commodity families.

In this study, we examine whether firms that act more socially responsible receive more favorable media coverage, and we consider whether firms use CSR to actively manage their media image. We focus on all news stories about a firm, not just those that report on specific CSR initiatives, and find that more socially responsible firms receive more favorable news reportage overall, i.e., they have a more positive media image. These findings are robust after controlling for potential endogeneity. Further, consistent with firms actively managing their media image, we find a stronger relation between CSR and media favorability when incentives to improve a firm’s media image are high, e.g., among firms in sin industries, during periods of low investor sentiment, and prior to seasoned equity offerings. Finally, we find that for firms that demonstrate superior social responsibility and receive more favorable news reporting, there is a significant interaction between social responsibility and media favorability that increases (decreases) a firm’s equity valuation (cost of capital). Our results are consistent with the media slanting their reporting in favor of good performing CSR firms. Overall, we contribute to the literature by showing that firms can influence their media coverage through a relatively subtle channel, CSR performance.

Monthly returns in countries with strong governance lead monthly returns in weak governance countries. This predictability holds in and out-of-sample at both the group and individual country levels. Moreover, the predictability is not fully explained by other related possible sources of cross-country predictability such as differences in country development, political risk, size, liquidity, short-selling constraints, the predictive ability of U.S. equity returns, or non-synchronous trading. It appears that equity returns in different countries react to value-relevant world information at different speeds based on their levels of country governance.