州际移民网络与股票回报率的相关性

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2023-11-02 DOI:10.1111/jfir.12364

Suin Lee, Christos Pantzalis, Jung Chul Park

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引用次数: 0

摘要

在国家组合层面，我们记录了移民流接收国和输出国之间可观且稳健的超额回报相关性。经济基本面并不能完全解释移民流动的相关性，随着移民网络规模的扩大，这种相关性也会增强。与部分由移民网络内共同投资者基础的相关交易驱动的观点相一致的是，当移民流受到外生正向冲击时，移民相关性（a）大幅增加；（b）移民输出国的老牌企业的相关性更大；（c）当散户投资者除了本地偏好外还表现出 "老家 "偏好时，移民相关性增强。

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Interstate migration networks and stock return comovement

We document sizable and robust excess return comovement between migration-flow receiving and sending states at the state-portfolio level. Migration comovement is not fully explained by economic fundamentals and strengthens with the size of the migration network. Consistent with the view that it is partially driven by correlated trading of a common investor base within migration networks, migration comovement a) increases substantially when there is an exogenous positive shock to migration flows, b) is greater with old firms in migration-sending states, and c) strengthens when retail investors display “old home” bias in addition to local bias.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.