Geographic links and predictable returns

IF 2.2 3区管理学 Q2 BUSINESS, FINANCE

Journal of Business Finance & Accounting Pub Date : 2024-01-03 DOI:10.1111/jbfa.12782

Zuben Jin, Frank Weikai Li

引用次数: 0

Abstract

Using establishment-level data of U.S. public firms, we construct a novel measure of geographic linkage between firms. We show that the returns of geography-linked firms have strong predictive power for focal firm returns and fundamentals. This effect is distinct from other cross-firm return predictability and is not easily attributable to risk-based explanations. It is more pronounced for focal firms that receive lower investor attention, are more costly to arbitrage, and during high sentiment periods. The cross-firm information spillovers and return predictability are also stronger for geographic peers with economic linkages and with positive information. Our results are broadly consistent with sluggish price adjustment to nuanced geographic information.

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地域联系和可预测的回报

利用美国上市公司的机构级数据，我们构建了企业间地理联系的新衡量标准。我们的研究表明，地理关联公司的回报对焦点公司的回报和基本面有很强的预测能力。这种效应有别于其他跨公司回报预测性，不易归因于基于风险的解释。对于投资者关注度较低、套利成本较高以及情绪高涨时期的焦点公司，这种效应更为明显。跨公司的信息溢出效应和回报可预测性对于具有经济联系和积极信息的地域同行来说也更强。我们的研究结果与对细微地理信息的价格调整迟缓基本一致。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Business Finance & Accounting BUSINESS, FINANCE-

CiteScore

4.40

自引率

17.20%

发文量

期刊介绍： Journal of Business Finance and Accounting exists to publish high quality research papers in accounting, corporate finance, corporate governance and their interfaces. The interfaces are relevant in many areas such as financial reporting and communication, valuation, financial performance measurement and managerial reward and control structures. A feature of JBFA is that it recognises that informational problems are pervasive in financial markets and business organisations, and that accounting plays an important role in resolving such problems. JBFA welcomes both theoretical and empirical contributions. Nonetheless, theoretical papers should yield novel testable implications, and empirical papers should be theoretically well-motivated. The Editors view accounting and finance as being closely related to economics and, as a consequence, papers submitted will often have theoretical motivations that are grounded in economics. JBFA, however, also seeks papers that complement economics-based theorising with theoretical developments originating in other social science disciplines or traditions. While many papers in JBFA use econometric or related empirical methods, the Editors also welcome contributions that use other empirical research methods. Although the scope of JBFA is broad, it is not a suitable outlet for highly abstract mathematical papers, or empirical papers with inadequate theoretical motivation. Also, papers that study asset pricing, or the operations of financial markets, should have direct implications for one or more of preparers, regulators, users of financial statements, and corporate financial decision makers, or at least should have implications for the development of future research relevant to such users.