Dollar-weighted return on aggregate corporate sector: How is it distributed across countries?

Lingxia Sun and Dong Wook Lee

Pacific-Basin Finance Journal, 2019, vol. 57, issue C

Abstract: This paper computes the dollar-weighted returns (DWRs) on the aggregate corporate sector in each of 43 sample countries. The paper shows that the DWRs in U.S. dollars are similar across countries but the local-currency DWRs are not. Further analysis shows that the DWRs in local currency are higher in financially closed countries but their currencies lose value, thereby resulting in the parity of DWRs in U.S. dollars across countries. More generally, a country's DWR converges faster to the global benchmark, the more financially open the country is. Taken together, our results are consistent with the notion that capital flows in such a way that the return to investors is equalized across countries and any barriers to cross-border capital flows are overcome by currency value changes.

Keywords: Dollar-weighted return; Convergence; Parity; Currency; Financial openness (search for similar items in EconPapers)
JEL-codes: F30 F65 G31 G32 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X19300277
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x19300277

DOI: 10.1016/j.pacfin.2019.101186

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().