Geographic distribution of firms and expected stock returns

DOI10.1016/J.JEDC.2021.104267MaRDI QIDQ2054854zbMATH OpenOpenAlexFDO

Authors Ruchith Dissanayake

Publication date 3 December 2021

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2021.104267

zbMATH Keywords

expected stock returnsGDMA portfoliogeographic distributionhedge factor

Mathematics Subject Classification ID

Mathematical geography and demography (91D20) Portfolio theory (91G10)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Analysis of time series subject to changes in regime
• Common risk factors in the returns on stocks and bonds
• Macroeconomic implications of agglomeration
• Networking off Madison Avenue
• On the Internal Structure of Cities

Cited in

(2)

• Far away from home: investors' underreaction to geographically dispersed information
• An investment-based explanation for the dispersion anomaly

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