Panel A of Table 1 describes our sample selection process. We begin by collecting financial data from World scope for all firms from Hong Kong, Indonesia, Malaysia, the Philippines, Singapore, Korea, Taiwan, and Thailand that are covered by the July 1997 version of world scope in order to capture firms in existence prior to onset of the crisis. These eight emerging markets are the same ones studied by Claessens, Djankov, Fan, and Lang(2000).The firms covered by World scope at this time represent approximately 90 percent of the stock market capitalization of these East Asian countries. We eliminate firms whose primary business is financial services (SICs 6000-6999), resulting in an initial sample of 1,396 firms .We next match this initional sample of firms with ownership date from Lins (2000), which contains data from the 1995/1996 time period on the control rights and cash flow rights held by managers and their families for non-financial firms in 18 emerging markets. We lose 457 firms because of a lack of ownership dada.
We require that a firm is covered by World scope in both the pre-crisis and post-crisis period. Since the crisis clearly began in July of 1997, we define our pre-crisis as fiscal year-ends between July, 1996 and June, 1997. We next need to specify the time period in which the crisis effect on valuation is to be measured. There is no clear consensus on exactly when the crisis ended, but returns from the MSCI country indices indicate that East Asian markets were improving substantially by July, 1998. We want to maintain a consistent period of time (one year in this case) for the crisis to affect our firm, so we define our post-crisis period as fiscal year-ends between July,1997 and June ,1998 and use later versions of world scope to obtain this financial data. This choice of post-crisis period could obviously understate the effect of the crisis for firms with fiscal year-ends on or just after July. Fortunately, the overwhelming majority of our firms have fiscal year-ends between December and June. For robustness, we perform other analyses to ensure that our results are not biased by crisis period measurement issues.
We exclude firms with SEDOL changes or insufficient data to calculate Tobin’s Q ratio in both the pre-and post-crisis period. Tobin’s Q ratio is defined as the ratio of total liabilities plus the market value of equity divided by the book value of total assets. Our final sample consists of 853 firms for which we have both ownership and financial data over the crisis period. We also collect monthly stock return data in local currency from Data stream. Stock returns are not available for 60 of our sample firms. We focus on changes in firm value measured in local Currency because we are interested in the effects of difference in ownership on firm performance across firms within countries. By measuring performance in local currency we net out any effects of exchange rates that are common to all within each county