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来源类型 | Fellow & Graduate Student Working Papers |
规范类型 | 工作论文 |
来源ID | CID Research Fellow & Graduate Student Working Paper No. 83 |
Fool's Gold: On the Impact of Venezuelan Devaluations in Multinational Stock Prices | |
Dany Bahar; Carlos Alberto Molina; Miguel Angel Santos | |
发表日期 | 2017-05 |
出版年 | 2017 |
摘要 | This paper documents negative cumulative abnormal returns (CARs) to five exchange rate devaluations in Venezuela within the context of stiff exchange controls and large black-market premiums, using daily stock prices for 110 multinationals with Venezuelan subsidiaries. The results suggest evidence of statistically and economically significant negative CARs of up to 2.07% over the ten-day event window. We find consistent results using synthetic controls to causally infer the effect of each devaluation on the stock prices of global firms active in the country at the time of the event. Our results are at odds with the predicaments of the efficient market hypothesis stating that predictable devaluations should not impact stock prices of large multinational companies on the day of the event, and even less so when they happen in small countries. We interpret these results as suggestive indication of market inefficiencies in the process of asset pricing. |
关键词 | Devaluation Venezuela |
URL | https://www.hks.harvard.edu/centers/cid/publications/fellow-graduate-student-working-papers/currency-devaluations-venezuela |
来源智库 | Center for International Development (United States) |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/503322 |
推荐引用方式 GB/T 7714 | Dany Bahar,Carlos Alberto Molina,Miguel Angel Santos. Fool's Gold: On the Impact of Venezuelan Devaluations in Multinational Stock Prices. 2017. |
条目包含的文件 | 条目无相关文件。 |
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