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Vihang R. Errunza, Lemma W. Senbet, International Corporate Diversification, Market Valuation, and Size- Adjusted Evidence, The Journal of Finance, Vol. 39, No. 3, Papers and Proceedings, Forty-Second Annual Meeting, American Finance Association, San Francisco, CA, December 28-30, 1983 (Jul., 1984), pp. 727-743
Errunza et al. (Sun,) studied this question.