Business groups and the incorporation of firm-specific shocks into stock prices

• 成果类型: Article
• 署名作者: Faccio, Mara; Morck, Randall; Yavuz, M. Deniz
• 署名单位: Purdue University System; Purdue University; National University of Singapore; European Corporate Governance Institute; National Bureau of Economic Research; University of Alberta
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.09.005
• 发表日期: 2021
• 页码: 852-871
• 关键词: business groups; Incorporation of firm-specific information; Economic growth

摘要

Firm-specific information has a damped effect on business group-affiliated firms' stock prices. Such firms' idiosyncratic stock returns are less responsive to idiosyncratic commodity price shocks than are the idiosyncratic returns of otherwise similar unaffiliated firms in the same country and commodity-sensitive industry. Using global commodity shocks means we assess responses to common idiosyncratic shocks of the same magnitude, frequency, and observability. Further identification follows from difference-in-difference tests exploiting successful and matched exogenously failed control block transactions. We conclude that business group firms' stock prices provide less firm-specific information to capital providers and managers. (C) 2020 Elsevier B.V. All rights reserved.