Far away from home: investors' underreaction to geographically dispersed information

DOI10.1016/J.JEDC.2022.104325MaRDI QIDQ2115981zbMATH OpenOpenAlexFDO

Authors Zilin Chen, Liya Chu, Dawei Liang, Jun Tu

Publication date 15 March 2022

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.2022.104325

zbMATH Keywords

return predictabilitylimited attentiongeographic peersmaterial subsidiariesslow information diffusion

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Common risk factors in the returns on stocks and bonds
• R\&D spillover and predictable return
• Technological innovation, resource allocation, and growth

Cited in

(3)

• Geographic distribution of firms and expected stock returns
• Does foreign information predict the returns of multinational firms worldwide?
• What's in a Name? An Experimental Examination of Investment Behavior*

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