Showing 1 - 6 of 6
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...
Persistent link: https://www.econbiz.de/10011213641
International consumption risk sharing studies have largely ignored their models' counterfactual implications for asset returns although these returns incorporate direct market measures of risk. In this paper, we modify a canonical risk-sharing model to generate more plausible asset return...
Persistent link: https://www.econbiz.de/10009652809
Financial markets have become increasingly global in recent decades, yet the pricing of internationally traded assets continues to depend strongly upon local risk factors, leading to several observations that are difficult to explain with standard frameworks. Equity returns depend upon both...
Persistent link: https://www.econbiz.de/10009228888
Over the past two decades international markets have become more open, leading to a common perception that global capital markets have become more integrated. In this paper, I ask what this integration and its resulting higher correlation would imply about the diversification potential across...
Persistent link: https://www.econbiz.de/10005575816
How important is foreign diversification? In this paper, we re-examine this question motivated by findings from the literature about foreign companies that are listed on US exchanges. Specifically, domestic portfolios including cross-listed stocks can provide the same diversification as foreign...
Persistent link: https://www.econbiz.de/10010652305
We develop an international financial market model in which domestic and foreign residents differ in their beliefs about the information in economic signals. Similar to models of asymmetric information, we consider how informational advantages by domestic investors about local output impacts...
Persistent link: https://www.econbiz.de/10008833265