Excess Comovement in International Equity Markets: Evidence from Cross-border Mergers

• 成果类型: Article
• 署名作者: Brealey, Richard A.; Cooper, Ian A.; Kaplanis, Evi
• 署名单位: University of London; London Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhp104
• 发表日期: 2010
• 页码: 1718
• 关键词: STOCK RETURNS; HOME BIAS; diversification; location; RISK; strategies; BETAS

摘要

Using a large sample of cross-border mergers, we measure the effect of a change in location on systematic risk. When a target firm's location moves, a large part of its systematic risk switches from being related to its home equity market to that of the acquirer. On average, the change in betas is equivalent to an excess shift of about 0.5 in the target's beta from its home market to that of the acquirer. We test whether the change in systematic risk can be explained by fundamental factors related to changes in the operations of the firm or merger synergy and find that it cannot. (JEL F23, F36, G12, G15, G34)