 Changing risk exposures of cross-listed firms and market integrationJournal of International Money and Finance, 2017, vol. 70, issue C, 378-405 Abstract: A standard finding is that risk exposures of companies that cross-list tend to increase against the market in which they list, a change typically associated with a decline in the cost of capital. However, this finding is predicated on the assumption that the home and foreign market co-movements are stable over time. By contrast, another common finding is that risk exposures across market indices have increased over time due to international market integration. In this paper, I ask whether the firm-level findings for changing risk exposures are due to the more general changes in market co-movements. Indeed, for a panel of cross-listed firms in the U.S., I find that 72% do not find evidence of breaks in their relationships beyond those derived from their home markets. This finding suggests that the apparent increase in risk exposures for cross-listed firms arises from general market integration trends. Moreover, the remaining 28% of firms tend to have significant breaks after cross-listing, be younger, and have home markets with lower government regulation. Keywords: Cross-listed firms; International market integration; Break tests (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:70:y:2017:i:c:p:378-405 DOI: 10.1016/j.jimonfin.2016.09.005 Access Statistics for this article Journal of International Money and Finance is currently edited by J. R. Lothian More articles in Journal of International Money and Finance from Elsevier |
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