Do Foreign Firm Betas Change During Cross-listing?

NBER Working Paper No. 21054

Issued in March 2015

NBER Program(s):Asset Pricing, International Finance and Macroeconomics



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.

Supplementary materials for this paper:



Acknowledgments

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w21054

Users who downloaded this paper also downloaded* these: