Size matters: The impact of financial liberalization on individual firms |
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Authors: | Peter Christoffersen Hyunchul Chung Vihang Errunza |
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Institution: | aFaculty of Management, McGill University, 1001 Sherbrooke Street West, Montreal, Quebec, Canada H3A 1G5;bSchool of Business, Hanyang University, 17 Haengdang-dong, Seongdong-gu, Seoul 133-791, South Korea |
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Abstract: | We attempt to answer the following questions: What are the revaluation effects and the impact on performance, 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 impact of stock market liberalization across firms. Large firms tend to exhibit large revaluation effects, insignificant change in performance, large declines in volatility, and insignificant change in correlation from liberalization. Small firms show small revaluation effects, improved performance, smaller decline in volatility and decreases in correlation after liberalization. |
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Keywords: | Revaluation effect Performance Volatility Correlation |
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