Aditya Kaul

Dept of Finance & Management Science
University of Alberta
2-32G Faculty of Business Building
Edmonton, Alberta T6G 2R6
Tel: 403-492-5027

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NBER Working Papers and Publications

August 2013The Twilight Zone: OTC Regulatory Regimes and Market Quality
with Ulf Br├╝ggemann, Christian Leuz, Ingrid M. Werner: w19358
We analyze a comprehensive sample of more than 10,000 U.S. OTC stocks. We provide much needed descriptive evidence on this market and show that the OTC market is a large, diverse, and dynamic trading environment with a rich set of regulatory and disclosure regimes, comprising venue rules and state laws beyond SEC regulation. We also exploit the institutional richness of the OTC market and analyze two key dimensions of market quality, liquidity and crash risk, across firms and regulatory regimes. We find that OTC firms that are subject to stricter regulatory regimes and disclosure requirements have higher market quality (higher liquidity and lower crash risk). Our analysis points to an important trade-off in regulating the OTC market and protecting investors: Lowering regulatory requirement...
October 1995Exchange Rate Variability and the Riskiness of U.S. Multinational Firms:Evidence from the Breakdown of the Bretton Woods System
with Eli Bartov, Gordon M. Bodnar: w5323
This study assesses the impact of exchange rate variability on the riskiness of U.S. multinational firms by examining the relation between exchange rate variability and stock return volatility and by decomposing this relation into components of systematic and diversifiable risk. Focusing on two periods around the 1973 switch from fixed to floating exchange rates, we find a significant increase in the volatility of U.S. multinational monthly stock returns corresponding to the period of increased exchange rate variability. This increase in stock return volatility is also significant relative to the increase in stock return volatility for firms in three control samples. Using a single factor market model, we show this increase in total volatility led to a significant increase in market risk...

Published: Bartov, Eli, Gordon M. Bodnar and Aditya Kaul. "Exchange Rate Variability And The Riskiness Of U.S. Multinational Firms: Evidence From The Breakdown Of The Bretton Woods System," Journal of Financial Economics, 1996, v42(1,Sep), 105-132. citation courtesy of

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