R2 around the world:: New theory and new tests

• 成果类型: Article
• 署名作者: Jin, L; Myers, SC
• 署名单位: Harvard University; Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.11.003
• 发表日期: 2006
• 页码: 257-292
• 关键词: Corporate control; international financial markets; firm-specific risks; information and market efficiency; crashes

摘要

Morck, Yeung and Yu show that R-2 is higher in countries with less developed financial systems and poorer corporate governance. We show how control rights and information affect the division of risk bearing between managers and investors. Lack of transparency increases R-2 by shifting firm-specific risk to managers. Opaque stocks with high R(2)s are also more likely to crash, that is, to deliver large negative returns. Using stock returns from 40 stock markets from 1990 to 2001, we find strong positive relations between R-2 and several measures of opaqueness. These measures also explain the frequency of crashes. (c) 2005 Elsevier B.V. All rights reserved.