Do Foreign Firm Betas Change During Cross-listing?

Karen Lewis

No 21054, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: F15 G1 G15 (search for similar items in EconPapers)
Date: 2015-03
Note: AP IFM
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