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Do Foreign Firm Betas Change During Cross-listing?

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  • 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.

Suggested Citation

  • Karen K. Lewis, 2015. "Do Foreign Firm Betas Change During Cross-listing?," NBER Working Papers 21054, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:21054
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • F15 - International Economics - - Trade - - - Economic Integration
    • G1 - Financial Economics - - General Financial Markets
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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