Local institutional investors, information asymmetries, and equity returns

• 成果类型: Article
• 署名作者: Baik, Bok; Kang, Jun-Koo; Kim, Jin-Mo
• 署名单位: Nanyang Technological University; Seoul National University (SNU); Rutgers University System; Rutgers University New Brunswick
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.03.006
• 发表日期: 2010
• 页码: 81-106
• 关键词: Local institutional ownership; information asymmetry; stock return; Investment advisor; Informed trading

摘要

We examine the informational role of geographically proximate institutions in stock markets. We find that both the level of and change in local institutional ownership predict future stock returns, particularly for firms with high information asymmetry; in contrast, such predictive abilities are relatively weak for nonlocal institutional ownership. The local advantage is especially evident for local investment advisors, high local ownership institutions, and high local turnover institutions. We also find that the stocks that local institutional investors hold (trade) earn higher excess returns around future earnings announcements than those that nonlocal institutional investors hold (trade). (c) 2010 Elsevier B.V. All rights reserved.