Scherrer, Cristina Mabel ORCID: 0000-0002-7935-5378 (2021) Information processing on equity prices and exchange rate for cross-listed stocks. Journal of Financial Markets, 54. ISSN 1386-4181
Full text not available from this repository.Abstract
I propose a novel structural setting to investigate the dynamics of information processing on equity prices and the exchange rate for cross-listed stocks. Using high-frequency data on Brazilian cross-listed firms, I disentangle the effects on firm value of the exchange rate from the other determinants of a firm's cash flow. In general, the results suggest that the U.S. is faster than the home market and that there is a net positive relationship between the value of the domestic currency and the firm's value. This result is linked to the likely partially segmented market characteristic of the home market. Robustness checks confirm the results.
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