Information processing on equity prices and exchange rate for cross-listed stocks

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

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Identification Number: 10.1016/j.finmar.2021.100634

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.

Item Type:	Article
Additional Information:	© 2021 Elsevier B.V.
Divisions:	Finance
Subjects:	H Social Sciences > HB Economic Theory H Social Sciences > HG Finance
JEL classification:	G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C32 - Time-Series Models F - International Economics > F3 - International Finance > F31 - Foreign Exchange
Date Deposited:	08 Oct 2024 09:39
Last Modified:	15 Oct 2024 08:36
URI:	http://eprints.lse.ac.uk/id/eprint/125649

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