Multinationals and stock return comovement

Do, HX; Nguyen, NH; Nguyen, QMP

Multinationals and stock return comovement

Do, HX Nguyen, NH Nguyen, QMP

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Publisher:: Elsevier
Publication Type:: Journal Article
Citation:: Global Finance Journal, 2022, 52, pp. 1-20
Issue Date:: 2022-05-01

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Field	Value	Language
dc.contributor.author	Do, HX
dc.contributor.author	Nguyen, NH
dc.contributor.author	Nguyen, QMP
dc.date.accessioned	2023-06-25T04:08:33Z
dc.date.available	2023-06-25T04:08:33Z
dc.date.issued	2022-05-01
dc.identifier.citation	Global Finance Journal, 2022, 52, pp. 1-20
dc.identifier.issn	1044-0283
dc.identifier.uri	http://hdl.handle.net/10453/170861
dc.description.abstract	We 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 2022 Elsevier Inc
dc.language	en
dc.publisher	Elsevier
dc.relation.ispartof	Global Finance Journal
dc.relation.isbasedon	10.1016/j.gfj.2022.100714
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject	1502 Banking, Finance and Investment
dc.subject.classification	Finance
dc.title	Multinationals and stock return comovement
dc.type	Journal Article
utslib.citation.volume	52
utslib.for	1502 Banking, Finance and Investment
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access	*
pubs.consider-herdc	false
dc.date.updated	2023-06-25T04:08:31Z
pubs.publication-status	Published
pubs.volume	52

Abstract:

We 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 2022 Elsevier Inc

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http://hdl.handle.net/10453/170861