Our primary data source for this st

Our primary data source for this study is Compustat Global. We obtain annual financial accounting variables,monthly market information, and monthly exchange rates from Compustat Global Industrial, Compustat Global Issues,and Compustat Global Currency files, respectively. We collect country-level variables through various sources.We obtain creditor rights, shareholder rights, and legal origin from Djankov, McLiesh, and Shleifer (2007)and Djankov, La Porta, Lopez-de-Silanes, and Shleifer.(2008)two studies that update the La Porta, Lopez-de-Silanes, Shleifer, and Vishny (1998) database. We obtain rule of law measures from Kaufmann, Kraay, and Mastruzzi(2003). Our accounting quality disclosure scores are based on two sources,Hope, Kang, and Zang(2004)
and Bhattacharya, Daouk, and Welker (2003). The accounting disclosure scores are from the Center for International Financial Analysis and Research (CIFAR). We construct stock
market and financial intermediary development measures(Demirguc-Kunt and Levine, 1996) from the World Development Indicators CD-ROM produced by the World Bank.We begin our sample construction by matching the Compustat Global Industrial database to the Compustat Global Issues database. We require that each firm-year observation in the annual Global Industrial file has:(1) fully consolidated accounting statements (consol
=F in Compustat Global Industrial), (2) membership in a non regulated industry,(3)long-term debt, and (4) all the data fields required for subsequent analyses. After applying these filters, we obtain a sample of 120,507 firm-year observations from 16,525 unique firms across 52 countries during the period 1990–2006. We also construct a
subsample to test the valuation impact of creditor rights using the approach of Famaand French (1998). Because this method requires a five-year period of firm-specific data, this subsample contains 67,331 firm-year observations from 12,052 unique firms across 50 countries during the period 1992–2004