Commonality in news around the world

• 成果类型: Article
• 署名作者: Dang, Tung Lam; Moshirian, Fariborz; Zhang, Bohui
• 署名单位: University of New South Wales Sydney; University of New South Wales Sydney; University of Danang
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.11.007
• 发表日期: 2015
• 页码: 82-110
• 关键词: News commonality; Information production; Institutional environments; Stock return comovement; Stock liquidity commonality

摘要

Motivated by the pioneering study of Morck. Yeung, and Yu (2000), this paper investigates whether and how news commonality varies according to a country's institutional environments. Using a unique global news data set across 41 countries for the 20002009 period, we document three notable findings. First, firm-level news comoves more in countries with weaker institutional environments than in those with stronger institutional environments. Second, news commonality is positively associated with both stock return comovement and stock liquidity commonality. Third, the effect of news commonality on stock return and liquidity comovement is higher in countries with stronger institutions than in those with weaker institutions. These results suggest that a country's institutional environments affect firm-specific information production and, more importantly, support the information-efficiency view that lower price synchronicity is caused by greater capitalization of firm-specific information. (C) 2014 Elsevier B.V. All rights reserved.