Do Foreign Firm Betas Change During Cross-Listing?

57 Pages Posted: 30 Mar 2015

See all articles by Karen K. Lewis

Karen K. Lewis

University of Pennsylvania - Finance Department; National Bureau of Economic Research (NBER)

Date Written: March 2015

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.

Suggested Citation

Lewis, Karen Kay, Do Foreign Firm Betas Change During Cross-Listing? (March 2015). NBER Working Paper No. w21054, Available at SSRN: https://ssrn.com/abstract=2586907

Karen Kay Lewis (Contact Author)

University of Pennsylvania - Finance Department ( email )

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