원문정보
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
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