TY  - JOUR
AU  - Chari,Anusha
AU  - Henry,Peter Blair
TI  - Stock Market Liberalizations and the Repricing of Systematic Risk
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 8265
PY  - 2001
Y2  - May 2001
UR  - http://www.nber.org/papers/w8265
L1  - http://www.nber.org/papers/w8265.pdf
N1  - Author contact info:
Anusha Chari
301 Gardner Hall
CB#3305, Department of Economics
University of North Carolina at Chapel Hill
Chapel Hill, NC 27599
Tel: 919/966-5346
E-Mail: achari@unc.edu

Peter Blair Henry
Stern School of Business
New York University
44 West 4th Street, 11-58
New York, NY 10012
Tel: 212/998-0909
E-Mail: pbhenry@stern.nyu.edu
AB  - When countries open their stock markets to foreign investors, firms that become eligible for purchase by foreigners (investible) are repriced according to the difference in the covariance of their returns with the local and world market. An investible firm whose return covariance with the local market exceeds that with the world market by 0.01 will experience a firm-specific revaluation of 3.4 percent. In contrast, the repricing of firms that remain off limits to foreign investors (non-investible) bears no significant relationship to differences in local and world covariances. These findings suggest that the CAPM has predictive power for the cross-sectional repricing of systematic risk when barriers to capital movements are removed.
ER  -