Excess comovement in international equity markets: Evidence from cross-border mergers
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.
International mergers international equity market integration stochastic discount factors international betas segmented markets primary listing
Richard A. Brealey Ian A. Cooper Evi Kaplanis
London Business School London Business School, Sussex Place, Regent’s Park, London NW1 4SA, England
国际会议
昆明
英文
1-48
2005-07-05（万方平台首次上网日期，不代表论文的发表时间）