INTERNATIONAL LISTINGS, THE SECURITY MARKET LINE AND CAPITAL MARKET INTEGRATION: THE CASE OF US LISTINGS ON THE LONDON STOCK EXCHANGE
研究1965至1987年间美国股票在伦敦证券交易所上市对风险收益定价关系的影响，发现上市后出现显著负偏离，表明国际上市有助于降低资本成本、促进市场一体化。
This paper examines for international capital market segmentation by testing for changes (both inter‐temporally and inter‐beta) in the parameters of the riskreturn pricing relationship caused by the listing of US stocks on the London Stock Exchange (LSE) between 1965 and 1987. It is hypothesized that international listings reduce the negative effects associated with barriers to international investments, help integrate world markets and therefore decrease internationally listed stock's required returns. Significant negative deviations from the Sharpe‐Lintner (SL) pre‐listing pricing relationship during the postlisting period are therefore expected, primarily caused by decreases in the intercept parameter. We find, in support of the hypothesis, significant negative deviations from the predictions of SL for our sample, although they do not appear to have an intertemporal dimension. These deviations are largely associated both with decreases in the value of the SL model's intercept parameter and with low beta firms, and point toward some integration benefits from US listings on the LSE.