Firm Value, Investment and Monetary Policy
AbstractThis paper presents empirical evidence on the effects of three nominal risk factors, local interest spreads, US interest spread, and US federal funds rate signal-to-noise ratio on the value of firms and on the cross-listing decision of firms destined to three major markets in North America, Asia, and Europe. We use firm-level data in 29 countries of cross-listing origin over a six year period, from 2000-2005. We find consistent and robust evidence that the US federal funds rate signal-to-noise ratio risk factor in the Sharpe sense provides an important benchmark for firm value across the universe of publicly traded companies; and this effect is larger for smaller firms that cross-list abroad. Countries in Asia, Europe, and South America tend to seek more funds abroad through cross-listing relative to other regions in this sample. In general, we find that the lagged local interest risk factor is positively related to current probability of cross listing. Small firms located in Asia, medium firms located in Europe, and large firms located in Asia, Europe, and South America have a higher relative probability of cross listing abroad.
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Bibliographic InfoPaper provided by Department of Economics, Tufts University in its series Discussion Papers Series, Department of Economics, Tufts University with number 0748.
Date of creation: 2010
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-04-11 (All new papers)
- NEP-CBA-2010-04-11 (Central Banking)
- NEP-MAC-2010-04-11 (Macroeconomics)
- NEP-MON-2010-04-11 (Monetary Economics)
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- Marcelo Bianconi & Joe A. Yoshino & Mariana O. Machado de Sousa, 2011. "BRIC and the U.S. Financial Crisis: An Empirical Investigation of Stocks and Bonds Markets," Discussion Papers Series, Department of Economics, Tufts University 0764, Department of Economics, Tufts University.
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