Excess comovement in international equity markets:Evidence from cross-border mergers

摘要：

We examine the changes in betas from international mergers. We find that the beta with respect to the acquirer’s home market rises and that with respect to the target’s home market falls. The effect is large and robust with respect to controls for changes in the operations of the companies involved. Such an effect can occur only if international equity markets are not integrated. We also find that the effect has not reduced over time, that cross-listings do not generally have a significant effect on international betas, and that the U.S. and U.K are more integrated internationally than other markets.

关键词： International mergers international equity market integration stochastic discount factors international betas segmented markets primary listing.

作者: Richard A. Brealey Ian A. Cooper Evi Kaplanis

作者单位: London Business School (corresponding author) London Business School, Sussex Place, Regents Park,London NW1 4SA, England,

会议类型: 国际会议

会议名称: 2006年中国国际金融年会

会议地点: 西安

会议语种:英文

在线出版日期: 2006-07-17（万方平台首次上网日期，不代表论文的发表时间）