Home away from Home: Geography of Information and Local Investors

• 成果类型: Article
• 署名作者: Bernile, Gennaro; Kumar, Alok; Sulaeman, Johan
• 署名单位: Singapore Management University; University of Miami; Southern Methodist University; National University of Singapore
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv004
• 发表日期: 2015
• 页码: 2009
• 关键词: MUTUAL FUND PERFORMANCE; stock returns; cross-section; media; uncertainty; INVESTMENT; benchmarks; portfolio; FRAUD; RISK

摘要

We develop a 10-K-based multidimensional measure of firm locations. Using this measure, we show that firm-level information is geographically distributed and institutional investors are able to exploit the resulting information asymmetry. Specifically, institutional investors overweigh firms whose 10-K frequently mentions the investors' state even when those firms are not headquartered locally and earn superior returns on those stocks. These ownership and performance patterns are stronger among hard-to-value firms. Local investor performance increases with the degree of local bias and with the local economic exposure of portfolio firms. Overall, geographical variation in firm-level information generates economically significant location-based information asymmetry.