Risk Sharing And Asset Prices : Evidence from a Natural Experiment  

Oleh:

Henry, Peter Blair ; Chari, Anhusa

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 59 no. 3 (Jun. 2004), page 1295-1324.
Topik: risks; stock prices; international finance; securities markets; risk exposure; mathematical models; many countries
Fulltext: p 1295.pdf (183.38KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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When countries liberalize their stock markets, firms that become eligible for foreign purchase (investible), experience an average stock price revaluation of 15.1%. Since the historical covariance of the average investible firm's stock return with the local market is roughly 200 times larger than its historical covariance with the world market, liberalization reduces the systematic risk associated with holding investible securities. Consistent with this fact : (1) the average effect of the reduction in systematic risk is 6.8 percentage points, or roughly two fifths of the total revaluation, and (2) the firm - specific revaluations are directly proportional to the firm - specific changes in systematic risk.

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