NDLI: A Test of International Equity Market Integration using Evidence from Cross-border Mergers

Content Provider	Semantic Scholar
Author	Brealey, Richard A. Cooper, Ian A. M. Kaplanis, Evi
Copyright Year	2005
Abstract	We examine the changes in betas resulting from international mergers. We find that the beta with respect to the acquirer's home market rises and that with respect to the target's home market falls. This effect is robust with respect to controls for changes in the operations of the companies involved and other robustness tests. It is consistent with the location of primary affecting betas with respect to different international equity markets. Such an effect can occur only if international equity markets are not fully integrated, and the risk that is generated by the stochastic discount factor in each country depends on the location of the primary listing of a company.
File Format	PDF HTM / HTML
DOI	10.2139/ssrn.700001
Alternate Webpage(s)	http://facultyresearch.london.edu/docs/INTERNATIONALMERGERSMARCH2005-2.pdf
Alternate Webpage(s)	https://doi.org/10.2139/ssrn.700001
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

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