Working Paper: NBER ID: w21054
Authors: Karen K. Lewis
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.
Keywords: No keywords provided
JEL Codes: F15; G1; G15
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| crosslisting (Y90) | increase in betas of foreign firms (F23) |
| crosslisting (Y90) | delayed market reaction of investors (G14) |
| home market movements (R31) | changes in beta of foreign firms (F23) |
| crosslisting (Y90) | increased correlation with U.S. market (G15) |
| older firms (L26) | different timing in beta changes (C41) |