The Heterogeneous Impact of Brexit: Early Indications from the FTSE

Ronald Davies and Zuzanna Studnicka

No 6478, CESifo Working Paper Series from CESifo

Abstract: The UK’s decision to leave the EU is surrounded by several studies simulating its potential effects. Alternatively, we examine expectations embodied in stock returns using a two-part estimation process. While most firms’ prices fell, there was considerable heterogeneity in their relative changes. We show that this heterogeneity can be explained by the firm’s global value chain, with heavily European firms doing relatively worse. For firms with few imported intermediates, this was partially offset by a greater Sterling depreciation. These changes were primarily in the first two days and highly persistent. Understanding these movements gives a better understanding Brexit’s potential effects.

Keywords: global value chain; event study; Brexit (search for similar items in EconPapers)
JEL-codes: F15 F23 G14 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-eec and nep-int
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Related works:
Journal Article: The heterogeneous impact of Brexit: Early indications from the FTSE (2018)
Working Paper: The Heterogeneous Impact of Brexit: Early Indications from the FTSE (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_6478

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