Creditor-Focused Corporate Governance: Evidence from Mergers and Acquisitions in Japan

Posted: 26 May 2013 Last revised: 30 May 2013

See all articles by Vikas Mehrotra

Vikas Mehrotra

University of Alberta - Department of Finance and Statistical Analysis

Dimitri van Schaik

PricewaterhouseCoopers, Netherlands

J. Spronk

Erasmus Research Institute of Management (ERIM)

Onno W. Steenbeek

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE); APG All Pensions Group

Date Written: May 23, 2010

Abstract

We study the relation between foreign exchange market quality and both trading activity and dealer concentration by considering two currency pairs with significant differences along both dimensions – the Euro-US dollar and Canadian dollar-US dollar. A variance ratio test reveals over-reaction in currency prices, but that this is smallest when trading activity is high and dealer concentration at its peak. A GARCH model shows that over-reaction declines as trading activity and dealer concentration increase, with the results being stronger for the Euro. Our results confirm that trading activity is an important determinant of market quality, but also point to a significant role for dealer concentration.

Suggested Citation

Mehrotra, Vikas and van Schaik, Dimitri and Spronk, Jaap and Steenbeek, Onno W., Creditor-Focused Corporate Governance: Evidence from Mergers and Acquisitions in Japan (May 23, 2010). Journal of Financial and Quantitative Analysis (JFQA), Vol. 46, No. 4, 2011; University of Alberta School of Business Research Paper No. 2013-218. Available at SSRN: https://ssrn.com/abstract=2269230

Vikas Mehrotra (Contact Author)

University of Alberta - Department of Finance and Statistical Analysis ( email )

School of Business
University of Alberta
Edmonton, Alberta T6G 2R6
Canada
780-492-2976 (Phone)
780-492-3325 (Fax)

Dimitri Van Schaik

PricewaterhouseCoopers, Netherlands ( email )

Netherlands

Jaap Spronk

Erasmus Research Institute of Management (ERIM) ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands

Onno W. Steenbeek

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )

Dept. of Finance, H14-1
P.O. Box 1738
3000 DR Rotterdam, 3000DR
Netherlands
+31-10-4081400 (Phone)
+31-10-4089165 (Fax)

HOME PAGE: http://people.few.eur.nl/steenbeek/

APG All Pensions Group ( email )

Gustav Mahlerplein 3
P.O. Box 75283
1070 AG Amsterdam
Netherlands
+31-20-6049122 (Phone)
+31-20-4059176 (Fax)

HOME PAGE: http://www.apg.nl

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