Do Foreign Firm Betas Change During Cross-listing?
文件大小：未知
级别评定：★★★★★
添加时间：2015-12-22 19:43:25
最后更新：2015-12-22 19:50:29
下载积分：0分 （只有会员文件下载时才需要相应积分验证）
总浏览：
总下载：2
发布人：george15135
- 如果您发现该资源不能下载，请在本站论坛提出，管理员会及时处理。
- 未经本站明确许可，任何网站不得非法盗链及抄袭本站资源。
- 本站资源均为网友提供交流，仅供教学、研究使用，请下载后24小时内自行删除。
资源简介
Do Foreign Firm Betas Change During Cross-listing?
Karen K. Lewis
NBER Working Paper No. 21054
Issued in March 2015
NBER Program(s): AP IFM
The reaction of foreign stocks to cross-listing events has been documented in an extensive literature, finding that the betas of these stocks change over time. In this paper, I use stock return data for foreign companies listed on U.S. exchanges to ask whether the betas changed at all and, if so, on what date. While betas for most of these companies indeed change over their sample, the evidence shows that these changes arise from greater integration between their home markets and the U.S. Moreover, of the remaining companies, the betas change significantly after, not during, the cross-listing event.
___________________
Karen K. Lewis
Joseph and Ida Sondheimer Professor in International Economics and Finance
Research Interests: asset pricing, international finance, macrofinance, investments
