Earticle

초록

영어

We test the hypothesis that value-relevant information diffuses faster (slower) into stock prices of firms located in areas with (without) geographic ties to powerful politicians. Using two alternative measures of such ties as proxies for a location’s political vibrancy, we show that there is more value-relevant information generated in politically vibrant areas, and that equity markets in these areas tend to be somewhat segmented from the rest of the country. Accordingly, stock returns of firms from politically vibrant areas predict those in non-vibrant areas. Consistent with the notion that an area’s political vibrancy can affect local investor ability to process complicated information in a timely manner, this return predictability pattern is more pronounced among large firms and during periods characterized by higher uncertainty traced to random events constituting exogenous political shocks.

목차

Abstract.
 I. Introduction
 II. Data and Measures
  II.1. Data Sources and Sample Selection
  II.2. Measures
 III. Findings
  III.1. Are Politically Vibrant Areas Characterized by More Value-Relevant (Political) Newsand Greater Stock Market Participation?
  III.2. Are Politically Vibrant Areas’ Markets Segmented Along Geo-Political Lines?
  III.3. Can politically vibrant area firms’ past performance predict non-politically vibrant areafirms’ future performance?
 IV. Further Evidence on Slow Information Diffusion
  IV.1. Information asymmetry
  IV.2. Exogenous political shocks
  IV.3. Proximity to closest capital
 V. Conclusions
 References

키워드

저자

• Christos Pantzalis [ Department of Finance, College of Business, BSN 3403, University of South Florida, Tampa, FL 33620, Phone ]
• Jung Chul Park [ Department of Finance, College of Business, BSN 3403, University of South Florida, Tampa, ]

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  한국재무학회 학술대회

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  2006~2024

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  KDC 325 DDC 330