Multinationals and stock return comovement_GFJ_Quan Pham Minh Nguyen.pdf (638.51 kB)
Multinationals and stock return comovement
journal contribution
posted on 2023-06-10, 05:31 authored by Hung X Do, Nhut H Nguyen, Quan Pham Minh NguyenQuan Pham Minh NguyenWe find that when a U.S. domestic firm becomes a multinational (MNC), its returns comove more with those of existing multinational firms and less with those of purely domestic firms in the following year. This result is robust to a propensity score matching method and an exogenous shock. Turnover comovement and changes in mutual funds' holdings of these MNC initiators further indicate that investors prefer multinationals as a style investment. Moreover, MNC initiators with larger foreign sales experience larger shifts in return comovement. Finally, the effect of MNC initiation on return comovement is relatively weaker for 2000–2016 than for 1979–1997.
History
Publication status
- Published
File Version
- Accepted version
Journal
Global Finance JournalISSN
1044-0283Publisher
Elsevier BVExternal DOI
Volume
52Page range
a100714 1-20Department affiliated with
- Accounting and Finance Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2022-11-23First Compliant Deposit (FCD) Date
2022-11-22Usage metrics
Categories
No categories selectedLicence
Exports
RefWorks
BibTeX
Ref. manager
Endnote
DataCite
NLM
DC