Size Matters: The Impact of Capital Market Liberalization on Individual Firms

Christoffersen, Peter; Chung, Hyunchul; Errunza, Vihang R.

doi:10.2139/ssrn.329220

Cited by 4 publications

(5 citation statements)

References 29 publications

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“…This could lead to a positive association between changes in covariance and price increases which are driven by size rather than by re-pricing of risk. This is supported by Christoffersen, Chung and Errunza (2002), who find that following capital market liberalization, large firms experience greater price increases relative to small firms.…”

Section: Baseline Regressionsmentioning

confidence: 78%

Section: Dating Integrationmentioning

confidence: 99%

“…Therefore, it is necessary to control for size in looking at the relationship between the change in systematic risk and price increase. Following Christoffersen, Chung, Errunza (2002) and Chari and Henry (2004), we also control for turnover. On the one hand, liquid firms may be more attractive to foreign investors and thus experience large price increase.…”

Section: Baseline Regressionsmentioning

confidence: 99%

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European Union enlargement and equity markets in accession countries

Dvořák

Podpiera

2006

Emerging Markets Review

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ECB-CFS Research Network on "Capital Markets and Financial Integration in Europe" Financial Integration in Europe". The Network aims at stimulating top-level and policy-relevant research, significantly contributing to the understanding of the current and future structure and integration of the financial Working Paper Series is issuing a selection of papers from the Network. This selection is covering the priority It also covers papers addressing the impact of the euro on financing structures and the cost of capital. The Network brings together researchers from academia and from policy institutions. It has been guided by a Steering Committee composed of Franklin Allen (University of Pennsylvania), Giancarlo Corsetti (European (ECB), Jan Pieter Krahnen (Center for Financial Studies) and Axel Weber (CFS). Mario Roberto Billi, Bernd its work. Jutta Heeg (CFS) and Sabine Wiedemann (ECB) provided administrative assistance in collaboration with staff of National Central Banks acting as hosts of Network events. Further information about the Network can be found at http://www.eu-financial-system.org. areas " European bond markets", " European securities settlement systems", " Bank competition and the geographical University Institute), Jean-Pierre Danthine (University of Lausanne), Vitor Gaspar (ECB), Philipp Hartmann scope of banking activities", " international portfolio choices and asset market linkages" and " start-up financing". This paper is part of the research conducted under the ECB-CFS Research Network on " Capital Markets and system in Europe and its international linkages with the United States and Japan. After two years of work, the ECB Kaltenhä user (both CFS), Simone Manganelli and Cyril Monnet (both ECB) supported the Steering Committee in

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Section: Baseline Regressionsmentioning

confidence: 78%

Section: Dating Integrationmentioning

confidence: 99%

Section: Baseline Regressionsmentioning

confidence: 99%

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European Union enlargement and equity markets in accession countries

Dvořák

Podpiera

2006

Emerging Markets Review

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“…Our motivation to investigate the relationship between firm size and the exchange risk premium is justified by prior theory and evidence implying that size impacts firm"s behavior with respect to exchange 4 For example, though not directly related to FX premium, Christoffersen et al (2006) explain the potential average-out problem with market-level analysis. They investigate the revaluation effect after market liberalization in emerging markets using both market-level and firm-level data.…”

Section: Firm Sizementioning

confidence: 99%

Exchange risk premia and firm characteristics

Chung

Majerbi

Rizeanu

2015

Emerging Markets Review

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“…Chari and Henry use one and two months windows. In other stock market integration studiesHenry (2000) andChristoffersen, Chung and Errunza (2002) use an 8 month window,Errunza and Miller (2000) use a 6 month window.4 DataWe use two sets of data: one on returns and one on changes in expected earnings. The return data includes firm-level stock returns in accession countries, returns on aggregate market indices in accession countries, and returns on a world market index.…”

mentioning

confidence: 99%