Risk Sharing and Asset Prices: Evidence from a Natural Experiment
研究发现，股票市场自由化后，可被外资购买的股票平均价格上涨15.1%，其中约五分之二（6.8个百分点）可归因于系统性风险的降低。
ABSTRACT When countries liberalize their stock markets, firms that become eligible for foreign purchase (investible), experience an average stock price revaluation of 15.1%. Since the historical covariance of the average investible firm's stock return with the local market is roughly 200 times larger than its historical covariance with the world market, liberalization reduces the systematic risk associated with holding investible securities. Consistent with this fact: (1) the average effect of the reduction in systematic risk is 6.8 percentage points, or roughly two fifths of the total revaluation; and (2) the firm‐specific revaluations are directly proportional to the firm‐specific changes in systematic risk.