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Risk sharing and asset prices : evidence from a natural experiment

Author: Anusha Chari; Peter Blair Henry; National Bureau of Economic Research.
Publisher: Cambridge, MA. : National Bureau of Economic Research, ©2002.
Series: Working paper series (National Bureau of Economic Research), working paper no. 8988.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Abstract: When countries liberalize their stock markets, firms that become eligible for purchase by foreigners (investible), experience an average stock price revaluation of 10.4 percent. Since the covariance of the median investible firm's stock return with the local market is 30 times larger than its covariance with the world market, liberalization reduces the systematic risk associated with holding investible  Read more...
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Additional Physical Format: Print version:
Chari, Anusha, 1969-
Risk sharing and asset prices.
Cambridge, MA. : National Bureau of Economic Research, ©2002
(OCoLC)50259834
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Anusha Chari; Peter Blair Henry; National Bureau of Economic Research.
OCLC Number: 647376195
Reproduction Notes: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010. MiAaHDL
Description: 1 online resource (34, [5] pages) : illustrations.
Details: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Series Title: Working paper series (National Bureau of Economic Research), working paper no. 8988.
Responsibility: Anusha Chari, Peter Blair Henry.

Abstract:

Abstract: When countries liberalize their stock markets, firms that become eligible for purchase by foreigners (investible), experience an average stock price revaluation of 10.4 percent. Since the covariance of the median investible firm's stock return with the local market is 30 times larger than its 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 3.4 percentage points, or roughly one third of the total effect; and 2) variation in the firm-specific response is directly proportional to the firm-specific change in systematic risk. The statistical significance of this proportionality persists after controlling for changes in expected future profits and index inclusion criteria such as size and liquidity.

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