Earticle

초록

영어

The issue of whether firm-specific return variation measures the private information reflected in stock returns or trading noise is controversial. Using a firm’s geographic proximity to its investors as a proxy for a firm’s private information, we investigate the relation between firm-specific return variation and price informativeness. We find that (1) firms located in metropolitan areas experience higher firm-specific return variation, (2) firms that relocate their corporate headquarters from a nonmetropolitan area to a metropolitan area experience a significant increase in firm-specific return variation, and (3) holdings and trading by local institutional investors positively affect firm-specific return variation. These findings suggest that higher firm-specific return variation is indicative of more informative stock prices.

목차

Abstract
 1. Related Literature and Hypothesis
  1.1. Firm-specific return variation as a measure of stock price efficiency
  1.2. Geographic proximity and information
  1.3. Hypothesis: the relation between geographic proximity and firm-specific return variation
 2. Data and Variable Construction
  2.1. Data
  2.2. Measuring firm-specific stock return variation
  2.3. Geographic proximity variables
  2.4. Control variables
 3. Empirical Results
  3.1. Summary statistics
  3.2. Effect of firm location on firm-specific return variation
  3.3. Robustness tests of the location effect
  3.4. Corporate headquarters relocation and firm-specific stock return variation
  3.5. Local institutional ownership and firm-specific stock return variation
  3.6. Could firm location be a proxy for firm innovation and competition?
 4. Conclusion
 Appendix
 References
 Table

저자

• Kee-Hong Bae [ Schulich School of Business York University ]
• Jin-Mo Kim [ Rutgers Business School Rutgers University ]
• Yang Ni [ Antai College of Economics & Management Shanghai Jiao Tong University ]

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간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330