We attempt to answer the following questions: What are the revaluation effects and
the impact on the cost of capital, volatility, and return correlation from stock
market liberalization in emerging markets? These questions have been studied
extensively at the market-level but not at the firm level. Our results show
significantly different impacts of stock market liberalization across firms. Large
firms tend to exhibit large revaluation effects, insignificant change in the cost of
capital, large declines in volatility, and insignificant change in correlation from
liberalization. Small firms show small revaluation effects, increases in the cost of
capital, smaller decline in volatility and decreases in correlation after
liberalization. These results hold after controlling for movements in world stock
returns, concurrent economic reforms and macroeconomic fundamentals. They are also
robust to the length of the liberalization window. Our results have important
implications for international investors seeking to manage their global exposure as
well as for policy makers considering capital market liberalization.
게시판
공지사항
[2002년 제 3차] Size Matters: The Impact of Capital Market Liberali
작성자 : 관리자
조회수 : 1130
게시일 :
2003-07-12