Brexit: Short-term stock price effects and the impact of firm-level internationalization

被引：41

作者：

Oehler, Andreas ^{[1
]}

Horn, Matthias ^{[1
]}

Wendt, Stefan ^{[2
]}

机构：

[1] Bamberg Univ, Dept Management Business Adm & Econ, Kaerntenstr 7, D-96045 Bamberg, Germany

[2] Reykjavik Univ, Sch Business, Menntavegur 1, IS-101 Reykjavik, Iceland

来源：

FINANCE RESEARCH LETTERS | 2017年 / 22卷

关键词：

Internationalization; Brexit; International diversification; Stock returns; Stock price effect; Event study; DIVERSIFICATION; INVESTORS;

D O I：

10.1016/j.frl.2016.12.024

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We perform an event study analysis to determine short-term abnormal stock returns following the Brexit referendum. Moreover, we examine whether firm-level internationalization helps explaining abnormal returns. We find that stocks of firms with higher proportions of domestic sales realized more negative abnormal returns than stocks of firms with more sales abroad, i.e., a higher degree of international diversification. While firm-level internationalization largely explains abnormal returns on the trading day after the referendum, it has no relevant pricing effect in the following days. The quick adjustment of stock prices to reflect firm-level internationalization indicates a high degree of market efficiency. (C) 2017 Elsevier Inc. All rights reserved.

引用

页码：175 / 181

页数：7

共 19 条

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