THREE ESSAYS IN CROSS-BORDER FINANCE

This Ph.D. dissertation investigates various areas in financial economics: market microstructure, corporate finance, asset pricing, and financial econometrics. The three comprising essays have a common ground: cross-border finance. Chapter One documents the impact of differential private information on relative asset pricing across borders by studying the probability of informed trading (PIN) for Canadian shares traded on exchanges separated by Niagara Falls. Relative to the New York Stock Exchange (NYSE), the Toronto Stock Ex-change (TSX) has more informed trades and accounts for a larger information share, indicating that informed traders contribute to cross-border price discov-ery. The information imbalance across the two markets is associated with small but positive price premiums for New York trades. The dynamics of these pre-miums depends on trade informedness. Lastly, the PIN of a TSX-listed share typically rises upon cross-listing on the NYSE, which is consistent with negative abnormal returns of the original listing. The theory of corporate governance suggests that managers of poorly gov