In this paper, we examine whether the trading of the equities of the U.S. international lenders was informationally efficient when the IMF announced its term loan agreement concerning South Korea in late 1997. More specifically, we test whether the foreign exposure levels of different lenders can be distinguished and used by investors to rapidly price the lenders’ stocks proportionally according to the foreign exposure levels. A cross-sectional CAR regression model id used. The evidence indicates that the market is informationally efficient in trading the lenders’ equities during the IMF assistance of South Korea as investors incorporated the foreign exposure into pricing their bank equities rapidly and proportionally. There is a significant positive relationship between the bank’s equity prices and their respective exposure levels on the event days. This relationship is not shown on the nonevent days.

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Note: imported from RIT’s Digital Media Library running on DSpace to RIT Scholar Works in February 2014.

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Department, Program, or Center

Accounting (SCB)


RIT – Main Campus